Autors: H, A. J.
Title: Algorithm for Predicting Daily Volatility of FOREX Markets
Keywords: FOREX, volatility, prediction, forecasting, daily

Abstract: The paper addresses the issue of predicting daily volatility in FOREX markets based on past market movements. The method used is based on the combined use of two volatility indicators - day of the week and market trend. The studies were conducted over a large time period and multiple swaths to obtain a relatively universal estimation method and to avoid random influences due to the limited nature of the data samples. Combining the two indicators allows for partial compensation for random variation in each of them separately. The end result is a very good accuracy of the volatility estimate with an error of about 30%. This is a very good achievement, especially considering the use of only past values for the movement of the markets.

References

    Issue

    , 2023, Bulgaria,

    Вид: публикация в международен форум, публикация в реферирано издание, индексирана в Scopus