Original historical research
EUR/USD and GBP/USD: Correlation and Volatility in 2024 vs 2025
Reproducible ECB reference-rate analysis comparing EUR/USD and GBP/USD return correlation, rate changes and sample volatility across 2024 and 2025.
Correlation increased in this sample.
EUR/USD and GBP/USD aligned log-return correlation was 0.764 in 2024 and 0.816 in 2025. Both pairs also had higher annualised sample volatility in 2025 under the same 252-interval convention. These are descriptions of ECB reference observations, not forecasts or achievable trading returns.
Calculated by InsomniCapital on 10 October 2026. No independent reviewer is claimed. Both complete calendar-year datasets are available below; no partial 2026 sample is presented as a full year.
| Year | Observations | Log returns | Return correlation | EUR/USD rate change | EUR/USD volatility | GBP/USD rate change | GBP/USD volatility |
|---|---|---|---|---|---|---|---|
| 2024 | 256 | 255 | 0.763714 | -5.1752% | 5.9491% | -0.9131% | 5.9088% |
| 2025 | 255 | 254 | 0.815656 | 13.8456% | 7.8390% | 8.4416% | 7.7075% |
Method and reproduction
2024 covers 2 January–31 December (256 observations, 255 returns). 2025 covers 2 January–31 December (255 observations, 254 returns). EUR/USD is the published USD-per-EUR quote. GBP/USD is USD-per-EUR divided by GBP-per-EUR on the same date.
For each consecutive supplied observation, log return = ln(current rate / previous rate). Pearson correlation uses the aligned log returns. Annualised sample volatility = sample standard deviation of those returns × √252, with n−1 in the variance denominator. Rate change = last rate / first rate − 1. Missing dates are retained as gaps, without interpolation; annualisation does not adjust for their elapsed duration.
Reproduce each year in the historical forex lab: choose the dataset, EUR/USD and GBP/USD, and its full date window, then analyse. The lab also exposes all included observations and accepts local CSV data.
Sources and checks
ECB reference-rate methodology. The 2025 joint response was checked against three separately retrieved ECB series (all 765 values matched), and its last observation against the 31 December 2025 official rate sheet. The lab publishes source and normalised-file hashes.
2024 normalised CSV · 2025 normalised CSV · Original 2025 ECB response
Limitations
ECB reference rates are informational reference observations, not executable broker prices or intraday candles. The two annual samples cannot establish causation, a stable future correlation or a profitable strategy. Spreads, commissions, financing and leverage are absent. Correlation between these two USD-quoted pairs also shares a common quote currency. Use the currency correlation guide to interpret exposure and the backtesting guide before treating any historical statistic as a trading hypothesis.