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E-Mini Nasdaq Futures Volatility Forecast (07/11/2010)

We decided to introduce the E-Mini Nasdaq because it is shows the performance of one of the most fast-growing business sectors,hence,we need a thorough study of its fluctuations in order to have a complete understanding about the current markets conditions

We all know that the Nasdaq plots the performance of the High Tech sector in the US and it is logical to assume that High Tech stocks are more volatile than “normal” ones. However, the TGARCH volatility shows a chart which is very similar to the E-Mini S&P500 one.

The last readings display a clear period of uncertainty because the volatility seems to be stuck between 0.5% – 0.8% after an extended drop which started in June where the TGARCH estimation was around 20%.

Like other equity markets the E-Mini Nasdaq saw a sharp drop of volatility in the last 5 months but the fact that this market is usually more volatile than others should be interpreted as a warning signal for traders and investors.                                                           We are bearish because in a volatile market such as the High Tech one, volatility estimations  below the 1% are unacceptable.

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