Japanese Yen Futures Volatility Forecast (05/12/2010)

The last week we anticipated a down movement of Yen futures and apparently we were right again. The TGARCH volatility plot highlights an increase in volatility which has been caused by the drop in price.

The last trading session showed a bullish movement in Japanese Yen futures around 121 but we think that the down movement is far from being over. The volatility suddenly got back to 0.55% (8.7% annualised) and the last part of the chart displays a potential further increase of the conditional standard deviation.

The staff of HyperVolatility remains bearish because the shy move upwards could be a simple market adjustment. The price could easily drop to 117 by the end of the week.

Leave a Reply

Your email address will not be published. Required fields are marked *

Go back to top