{
  "metadata": {
    "title": "EUR/USD and GBP/USD: 2024 reference-rate correlation and volatility",
    "publisher": "InsomniCapital",
    "publishedDate": "2026-10-02",
    "dataPeriod": {
      "firstDate": "2024-01-02",
      "lastDate": "2024-12-31"
    },
    "source": {
      "publisher": "European Central Bank",
      "url": "https://data-api.ecb.europa.eu/service/data/EXR/D.USD+GBP+JPY.EUR.SP00.A?startPeriod=2024-01-01&endPeriod=2024-12-31&format=csvdata",
      "retrievedAt": "2026-10-02T22:21:43.880Z",
      "csvSha256": "febf2b45b33628f8e8aceae6d28ced5833e78e4b393b13f14d5d316b8ee61bd8",
      "responseSha256": "ea54ab4844ea11eca1207c3e86a05d0cd2b117d58ab2e4ff0ea617e8b098f662"
    },
    "units": {
      "correlation": "dimensionless Pearson r",
      "volatility": "decimal ratio; multiply by 100 for percent",
      "referenceChange": "decimal ratio; multiply by 100 for percent"
    },
    "method": {
      "eurusd": "USD per EUR directly from the ECB series",
      "gbpusd": "USD per EUR divided by GBP per EUR on the same reference date",
      "returns": "Natural logarithm of current rate divided by previous rate, using consecutive observations inside each window",
      "correlation": "Pearson correlation of the two aligned log-return series",
      "volatility": "Sample standard deviation of N log returns (N-1 denominator) multiplied by sqrt(252)",
      "change": "Last reference rate divided by first reference rate, minus one",
      "quarterBoundaries": "Returns crossing March/April, June/July and September/October are excluded from quarter samples but retained in the full-year sample",
      "gaps": "No interpolation or filling; a gap is one observation interval, with no elapsed-day adjustment"
    },
    "limitations": "Historical information-only reference observations, not executable quotes or trading returns. No live feed, transaction costs, hedge recommendation or forecast."
  },
  "windows": [
    {
      "sample": "Full year",
      "requestedStart": "2024-01-01",
      "requestedEnd": "2024-12-31",
      "firstDate": "2024-01-02",
      "lastDate": "2024-12-31",
      "observations": 256,
      "pairedReturns": 255,
      "correlation": 0.7637141267551698,
      "eurusdAnnualizedVolatility": 0.059490636625644785,
      "gbpusdAnnualizedVolatility": 0.05908764252800393,
      "eurusdReferenceChange": -0.0517524644030668,
      "gbpusdReferenceChange": -0.009130614320216668
    },
    {
      "sample": "Q1",
      "requestedStart": "2024-01-01",
      "requestedEnd": "2024-03-31",
      "firstDate": "2024-01-02",
      "lastDate": "2024-03-28",
      "observations": 63,
      "pairedReturns": 62,
      "correlation": 0.8726113253093716,
      "eurusdAnnualizedVolatility": 0.051703390127910684,
      "gbpusdAnnualizedVolatility": 0.060184724118623946,
      "eurusdReferenceChange": -0.013234757210660808,
      "gbpusdReferenceChange": -0.00013712476339255986
    },
    {
      "sample": "Q2",
      "requestedStart": "2024-04-01",
      "requestedEnd": "2024-06-30",
      "firstDate": "2024-04-02",
      "lastDate": "2024-06-28",
      "observations": 63,
      "pairedReturns": 62,
      "correlation": 0.8233024412298012,
      "eurusdAnnualizedVolatility": 0.05819799270991459,
      "gbpusdAnnualizedVolatility": 0.0576056457136109,
      "eurusdReferenceChange": -0.004093404037584847,
      "gbpusdReferenceChange": 0.006167123759376558
    },
    {
      "sample": "Q3",
      "requestedStart": "2024-07-01",
      "requestedEnd": "2024-09-30",
      "firstDate": "2024-07-01",
      "lastDate": "2024-09-30",
      "observations": 66,
      "pairedReturns": 65,
      "correlation": 0.6251475827738645,
      "eurusdAnnualizedVolatility": 0.04994905296421696,
      "gbpusdAnnualizedVolatility": 0.0497100432661676,
      "eurusdReferenceChange": 0.04197301070265236,
      "gbpusdReferenceChange": 0.0575259636053036
    },
    {
      "sample": "Q4",
      "requestedStart": "2024-10-01",
      "requestedEnd": "2024-12-31",
      "firstDate": "2024-10-01",
      "lastDate": "2024-12-31",
      "observations": 64,
      "pairedReturns": 63,
      "correlation": 0.7015118429276364,
      "eurusdAnnualizedVolatility": 0.07091155808252358,
      "gbpusdAnnualizedVolatility": 0.06481861639363178,
      "eurusdReferenceChange": -0.06287209092549173,
      "gbpusdReferenceChange": -0.05976407849157528
    }
  ]
}