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Japanese Yen Futures Volatility Forecast (22/11/2010)

The Japanese Yen futures is in an apparent down trend , however, the volatility did not increase at all and this should be interpreted as a warning signal.

The TGARCH volatility is still extremely low at 0.5 % (8% in annualised terms) and it is likely that it will increase soon, in fact, an appreciating dollar could easily push down the market towards the 115 area.

The staff of HyperVolatility is expecting a retracement in the market which can be eventually blocked by an intervention of the Central Bank of Japan

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