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  • Service Navigation

    Intraday Volatility Forecast

    Intraday Volatility Forecast

    Intraday Volatility Forecasts for DAX?, EURO STOXX 50? and Euro-Bund Futures are calculated based on trading data of the respective futures, the most important products traded on Eurex Exchange. The forecasts for the next 10 seconds, 1 minute and ten minutes are designed to help traders and other market participants to assess the likelihood of price changes, the risk involved in using certain automated strategies or to identify a good point in time for order submission.

    Data provided

    The following metrics are provided

    ? Average realized volatility: a reference for the last second is sent every second
    ? 10-second forecast: published every five seconds and covering the next three 10-second periods
    ? 1-minute forecast: published every 30 seconds and covering the next five 1-minute periods
    ? 10-minute forecast: published every five minutes, covering the three subsequent 10-minute periods

    Calculation details

    The Intraday Volatility Forecast is based on a proprietary mathematical model that uses historical futures data to forecast the direction (increasing or decreasing) and magnitude of volatility. The input going into the calculation can be grouped into three categories:


    ? Short-term memory of realized volatility
    ? Historical intraday seasonality
    ? Scheduled economic data releases

    Data availability

    The Intraday Volatility Forecast is disseminated via (a) the Eurex MIC (multi-interface-channel), (b) the 10 GB Eurex market data connection as well as (c) Deutsche B?rse’s data feeds CEF? Core and CEF ultra+ Eurex. A ~ 128 kbps bandwidth is required.


    ?

    Market Status

    XEUR

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    -

    Parts of the trading system are currently experiencing technical issues

    The trading system is currently experiencing technical issues

    Production newsboard

    The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

    We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

    An instant update of the Market Status requires an enabled up-to date Java? version within the browser.

  • 我国纳米核心技术取得重大突破 2019-02-17
  • 9年过去了 男子网坛还是费纳的天下 2019-02-17
  • 2018国际消费电子产品展 2019-02-14
  • 阿联酋计划向火星发射无人飞船 刷新阿拉伯太空史 2019-02-10
  • 国家统计局:5月一线城市房价同比持续下降 二线城市有所上涨 2019-02-02
  • 医疗专家入藏 免费治疗患儿 2019-01-29
  • 2018春运开启再读冰心莫言冯骥才笔下的“春运记忆” 2019-01-29
  • 《超人总动员2》刷新动画片北美首周末票房纪录 2019-01-29
  • 涉嫌诈骗1200万 潜逃韩国8年逃犯归案 2019-01-27
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