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Swiss Franc Futures Volatility Forecast (28/11/2010)

HyperVolatility was right again!!! The short-term retracement we forecasted the last week really occurred and the TGARCH plot is clearly displaying volatility estimations that are extremely high.

The actual volatility is around 1.5% (24% in annualised terms) and it should decrease over the last week. We suggested looking at the long side of this market since a further increase of the price is more likely to happen in the future.

However, the hypothesis of a sideways week is not completely to opt out since after such a drop many markets tend to go through a consolidation period. Probably, a buy and hold strategy could prove profitable in the long run

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