Could volatility be predicted ?

Discussion in 'Technical Analysis' started by flyingforget, Sep 23, 2008.

  1. If it could be ,then how to predict it?

    Thank you
  2. i have a program that predicts volatility. i will sell it to you for $39.95.
  3. MTE


    Volatility can be predicted in a sense that it is mean-reverting, however, it's hard to determine when exactly it will revert to the mean.

    I also have a model, but I'm not selling it to you! :)
  5. it's called GARCH- look it up... not that greatest thing, but its a tool.
  6. YES it can be predicted.

    However, the direction of price to the volatility...



    Not worthwhile sharing it here at ET.

  7. Cheese


    Volatility might be defined simply as the daily gyrations of a given market (eg CL,ES,YM). Therefore you can do better than 'prediction', you can establish the datasets of the metrics and parameters of that market.

    As I have a professional background in futures, I have for some five years at ET pointed to where the money is in a market, which is in the gyrations. Therefore you can take it as proven that very few, if any, coming through ET will ever want to make themselves rich because they do any manner of things other than adopt a methodology to try and take the money where it arises in a market, open through to close, day in and day out.
  8. anything can be predicted with a certain margin of error.

    But, the volitility does not follow a normal distribution, and the first step is properly determening / predicting Volatility is determining which distribution it follows.

    Once you have that, you can begin to model.

    If you use a Gaussian distribution - you *may* see good results for a bit, but the outliers will screw you. And, in reality, these aren't really outliers - they are part of the curve.

    Not an easy task.
  9. Yes, it can.
  10. Ignore all these clowns...

    You won't get an answer from these idiots.

    Analyze VIX as you would any other chart...

    If you assume its going up.. that means there is more volatility coming.

    Obviously you want to analyze the front month on the VIX futures!

    Hope that helps.
    #10     Sep 23, 2008