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British Pound Futures Volatility Forecast (13/12/2010)

The British Pound has a TGARCH plot which is suggesting a sudden explosion of volatility. Specifically, the actual estimation is around 0.54% (8.5% annualised) but a sharp rise in volatility, at least at this point, is more likely than a further drop towards 0.49% (7.7% annualised). Consequently, the conditional standard deviation should achieve 0.6% (9.5% in annualised terms) by the end of the week.

The British Pound should therefore drop against the dollar and the prices could head south during this week in order to re-test the 153-155 area.

The staff of HyperVolatility remains bearish on this market despite the shy “rally” experienced over the last week. Therefore, we advise you to look for short opportunities rather than buying new lots because it appears that this market has ran out of power and a strong rise is, at the moment, a pretty unlikely event.

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