IPD Securities Forecasts

– EstimatingVolatility

Effective signals for the onset of major spikes in volatility

[vc_single_image image=”747″ img_size=”medium” add_caption=”yes” alignment=”center” style=”vc_box_shadow_3d” title=”IPD Forcasting Securities Volatility”]

The chart shows IPD H/L forecasts applied to predicting monthly volatility* for the Hang Seng  – a highly volatile Hong Kong stock market index shown with the green line in the chart.

IPD H/L forecasts are mapped onto monthly volatility (blue line) using statistical regression. All forecasts (red line) are out-of-sample.

*calculated as the sum of squared daily returns

Practitioners know exponential smoothing and related methods are incapable of tracking spikes such as seen with Hang Seng volatility.

IPD H/L forecasts provide a more reliable basis for predicting volatility than exponential smoothing, GARCH, and ARCH models.

[vc_cta h2=”Effective Signals for Major Volatility Spikes” style=”3d” color=”orange” add_button=”right” btn_style=”3d” btn_color=”primary” btn_i_align=”right” btn_i_icon_fontawesome=”fa fa-arrow-circle-right” btn_add_icon=”true” btn_link=”url:http%3A%2F%2Fpriceinfodynamics.com%2Fsecurities-forecast-subscription%2F|||”][/vc_cta]