New analytic provides key input for trading algorithms and risk methodologies…
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Deutsche Börse Market Data + Services is launching the new information product ‘Intraday Volatility Forecast’ on 23 November. The new analytic delivers ten-second, one-minute and ten-minute volatility forecasts for the futures of DAX, EURO STOXX 50 and Euro-Bund.
“Our forecasts can help traders assess the likelihood of price changes and therefore the risk involved in using certain automated strategies. The forecasts can also be used by screen traders in live trading and serve as input for pre-trade transaction cost analysis”, said Georg Gross, Head of Information, Market Data + Services, Deutsche Börse. “With the Intraday Volatility Forecast, traders can profit from both our complete set of historical futures data as well as our data processing capabilities.”
The Intraday Volatility Forecast is based on a proprietary mathematical model that uses historical futures data to forecast the direction and magnitude of volatility. The input going into the calculation can be grouped into the following three categories: short-term realised volatility, historical intraday seasonality and scheduled economic data releases. The short-term component of the volatility forecast model incorporates the fact that the future value of volatility is highly dependent on its current value. The second component of the model is based on an analysis of historical data of intraday seasonality in volatility. The model automatically accounts for relevant holidays, other calendar effects and daily events such as the opening and closing auctions of the different markets. The final model component dynamically evaluates the average impact of different scheduled releases. Releases with significant impact on volatility (e.g. US employment or GDP figures) are used in calculating the volatility forecast.
The Intraday Volatility Forecast will be disseminated via the data feeds CEF Core and CEF ultra+ Eurex as well as via the Eurex infrastructure.