Technical Indicator - Market Vol

[KB_TA]

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

 

[nonprophet]

Quote from KB_TA:

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.

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 today’s 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.

 

[jficquette]

Quote from KB_TA:

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

Consider using the call option values as predictors. Consider using the volatilty adapted to overbought oversold.

John