Estimating Future Daily Volatility

A

asap

What (method, tools, approach) do you guys recommend to estimate future volatility on the main indexes on a daily basis? E.g. I want to be able to compute an estimation of tomorrow's index volatility based on historical data. The IV figure doesn't help much because it refers to either monthly or weekly periods, while I am interested in estimating daily vola. Even though the square of days-till-expiry could be used to estimate an equivalent daily implied vola, I am wondering if I could go any further, as in my experience, that doesn't cut it.

I'd appreciate if any of the volatility traders out there add their suggestions.

Thanks
 
Quote from asap:

What (method, tools, approach) do you guys recommend to estimate future volatility on the main indexes on a daily basis? E.g. I want to be able to compute an estimation of tomorrow's index volatility based on historical data. The IV figure doesn't help much because it refers to either monthly or weekly periods, while I am interested in estimating daily vola. Even though the square of days-till-expiry could be used to estimate an equivalent daily implied vola, I am wondering if I could go any further, as in my experience, that doesn't cut it.

I'd appreciate if any of the volatility traders out there add their suggestions.

Thanks
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Please hang on while I fetch my copy of "The Holy Grail" from the bookshelf...
 
Quote from Lornz:

Please hang on while I fetch my copy of "The Holy Grail" from the bookshelf...
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i understand the irony but the fact is volatility is highly autoregressive and that makes it more prone to be estimated than say, direction. if that wasn't the case, liquid options trading wouldn't exist a all. so my question is what tools, methods should i use to estimate daily vola?
 
Quote from asap:

i understand the irony but the fact is volatility is highly autoregressive and that makes it more prone to be estimated than say, direction. if that wasn't the case, liquid options trading wouldn't exist a all. so my question is what tools, methods should i use to estimate daily vola?
More...

Absolutely! I was merely making a friendly jest.

The question still remains: Why would anyone want to share that information on a public message board?

By the way, there are plenty of papers on the subject. With a little effort, one might find something useful.

Good luck!
 
If you're estimating daily, then scale it the usual way- newwurldmn's response will suffice.

Garch is cool but then there's about a billion different GARCH variants.

Sometimes I feel like GARCH is like a pimped out academic version of Technical Analysis.
 
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