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

-

-

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.

  • 【省水保院】召开党风廉政建设领导小组会议 2019-04-21
  • 窃贼落网瞒余罪 出狱当天又被抓 2019-04-21
  • 重点区域强化督查启动 2019-04-19
  • 欧央行一句“明年夏天前不加息”,新兴市场货币闪崩 2019-04-19
  • 当然,可这免费卡可以转给他人用,而这人并非是享有免费的人[微笑] 2019-04-17
  • 古城旅行地中国国家地理网 2019-04-15
  • 租购并举渐入佳境 构建楼市阶梯型消费 2019-04-13
  • 北京现代ENCINO领衔 老爸心仪座驾推荐 2019-04-10
  • 东博会16个国家企业参展 国际展区人气旺 2019-03-31
  • 电影与足球争锋有戏吗 恐龙票房称霸 2019-03-30
  • 北京海淀区召开区委扩大会八个企业为政府提建议 2019-03-28
  • 权威!个税起征点提至每月5000元,财政部最新解释来了 2019-03-27
  • 回复@海之宁:你还好意思提逻辑? 2019-03-27
  • 图解:过去五年习近平在两会上的连珠妙“喻” 2019-03-25
  • 人民网——人民网记者遍神州 2019-03-20
  • 246| 586| 505| 124| 354| 409| 258| 262| 342| 366|