Hi there, currently I am working on a new technical model - one part of it should benefit from predicting the amplitude of the price change of the market (German Bundfuture). I am however struggling with the fact that I cannot predict the rise in volatility properly. I am interested in being able to forecast whether the market volatility increases or not. Just to clarify, I am not interested in the direction of the price change, just in the extent of it. Maybe a small example will help: We are currently trading at 111.93 in the German Bundfuture. If the price of the Bundfuture in 1 Month time is still at or around that level I don't want to get a signal, if however the Bundfuture trades at 109 or 114 I would like to get a signal. Does anyone know any reasonable technical indicator for this? I tried a lot already. If you have any further questions I am happy to answer them. FYI I also posted this thread in another forum on this site, as I thought Options would be a good topic too. Kind regards
These are two very different things, for example there can be a 5% price change either on low or on high volatility. Future volatility is essentially independent of price change: the upcoming month can be very volatile while at the same time there is no price change at all (between todayâs price and the price a month from now). To measure price change *relative to* volatility the Cynthia Kase indicators serve very well. To predict future volatility you can use GARCH. Hope this helps.
Consider using the call option values as predictors. Consider using the volatilty adapted to overbought oversold. John