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Japanese Yen Futures Volatility Forecast (28/11/2010)

The retracement that we forecasted the last week really happened and the market is in the 119 area. However, the TGARCH plot looks really strange because it seems that the change in volatility was almost 0 and such a phenomenon is rather out of the ordinary because we all know that volatility should normally augment in a downtrend.

The volatility is still extremely low since a 0.5% estimation (8% annualised) is more of a warning signal then a comforting indicator. Furthermore, the appreciation of the dollar is likely to drive down the market and prices fluctuations around the 90-100 area would not be surprising.

The staff of HyperVolatility remains sceptic about entering long positions and we advise you to look for more short opportunities.

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