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DJ EuroStoxx50 Futures Volatility Forecast (22/11/2010)

The European Futures Index is going through a great period of uncertainty. However, we still think that volatility is too low and that an explosion of the last one could drive prices even more down.

The TGARCH plot shows estimations around 1.2% (19% annualised) and it would not be surprising to see the volatility increasing to 2.2% (34% in annual terms) that would accompanied a drop of the market.

The staff of HyperVolatility remains bearish on the DJ EuroStoxx50 futures index in the long run.However, if the price does not decline a sideways movement is highly probable until the end of the week.

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