Deutsche Borse launches Intraday Volatility Forecast for 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.
About Deutsche Börse – Market Data + Services
Deutsche Börse is one of the world’s leading data and technology service providers for the securities industry with a product and service offering for issuers, investors, intermediaries and data vendors. The Group covers the entire value chain from trading, through clearing, to settlement and securities custody. Deutsche Börse Market Data + Services encompasses the Group’s extensive market data offering and external technology and connectivity services. The product and service range includes real-time and historical data from the Group's trading venues Eurex and Xetra as well as from cooperation partners. It also includes exclusive trading signals independent of its platforms such as economic indicators or macroeconomic news, reference data for more than 1,000,000 securities, approximately 10,825 indices including the STOXX and DAX index families, superior capital market infrastructure, and reliable connectivity services.
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