Based on a proprietary mathematical model and Eurex trade data, Deutsche Börse’s Intraday Volatility Forecast provides volatility forecasts for the most important Eurex futures for the next 10 seconds, 1 minute and 10 minutes. Click on the picture, to watch our short video about the Intraday Volatility Forecast.
Key product characteristics
- The Intraday Volatility Forecast provides volatility forecasts for DAX, EURO STOXX 50 and Euro-Bund futures
- The forecasts are calculated based on trading data of the most important Eurex futures
- Volatility forecasts are provided for 10-second, 1-minute and 10-minute time periods
- The Intraday Volatility Forecast is based on a proprietary mathematical model that uses short-term memory of realized volatility, historical intraday seasonality and the average impact of scheduled economic data releases as input
- The Intraday Volatility Forecast is disseminated via Deutsche Börse’s data feeds CEF Core and CEF ultra+ Eurex, via the Eurex MIC (multi-interface-channel) and the 10 GB Eurex market data connection
- For more information, please refer to the product sheet in the download section
Historical data available online
You can download historical data from our Data Shop > www.datashop.deutsche-boerse.com and also access free sample data.