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E-Mini S&P500 Futures Volatility Forecast (13/11/2010)

The drop of the S&P500 Futures is not really a surprise to us and the retracement we have been talking about in the last 2 weeks is still on its way.

The TGARCH volatility plot shows an upward sloping curve but still with readings around 0.5% (8% annualised)  and therefore it is reasonable to believe that the volatility will keep rising even in the upcoming week touching 1% – 1.2% (15% – 17% annualised).

The E-Mini S&P500 Futures is likely to retest the 1100 area before bouncing back and make new highs.Consequently, keep selling in the short run and calm down your bullish thoughts.

4 Responses to E-Mini S&P500 Futures Volatility Forecast (13/11/2010)

  1. Hi
    Can you explain a little more about “TGARCH”.
    As I recall it is a statistical tool that calculate sets of coordinates.
    Tx

    • Sure, the TGARCH is an econometric model which allows for asymmetry. In other words, it tells you if investors are more reactive to positive or negative news. Let’s break it down, if a negative news, on average, drives the market down by, say, 3% whilst a positive news (of equal magnitude) push prices up by 1.5% the market is said to be asymmetric.
      The TGARCH is not calculated using market prices but using logarithmic returns extrapolated by prices themselves. It’s more accurate than the VIX and it is more useful when forecasting market movements.
      Thank you for asking. Should you need more info contact me again

  2. Hi

    First time I visit your site and I am impressed, thank you very much for sharing with us your knowledge. My question is how do you generate these graphs? What is your source for volatility values or is it something you wrote yourself?

    Thank you,
    Roy

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