Volatility forecast

Here we forecast volatility, not direction. For each market the table shows how much the price is likely to move over the next 24 hours, in either direction. It does not say whether it will rise or fall, and it is not a buy or sell signal.

HOW TO READ IT

• 24 h volatility: one standard deviation of the expected move over the next 24 hours, as a percentage of price and in price units. On about two days out of three the move stays within this value.
• Versus normal: the ratio to the typical volatility of the last year. Above 1.25 the coming day is expected to be busier than usual, below 0.75 calmer.
• Events: scheduled official releases in the next 24 hours (US payrolls, US inflation, Federal Reserve, ECB). On average they raise the day's volatility by about 20%.

HOW IT IS BUILT

One model for eleven markets on hourly bars: the average of a convolutional neural network, a HAR model with the event calendar and a gradient boosting model. It was developed walk-forward on 2016-2024 and then checked once on the period from 2025 to date, never used during development, against a criterion fixed in advance. On that period it explains about 19% of the variation in volatility beyond a plain exponential moving average, on three different brokers and on all eleven markets, and beats the reference HAR model with statistical significance.

Every forecast is stored when it is made and compared 24 hours later with the volatility actually realised: the "Live check" section shows the result.

LIMITS

Volatility is only partly predictable: sudden jumps (unscheduled news, central bank interventions) are beyond any model. In the same study a network trained to forecast price direction did not beat chance; that is why we only publish volatility here. Nothing on this page constitutes financial advice.