Volatility forecasting is a subject that I spend a lot of time with behind the scenes, yet rarely post about on the blog. Part of the reason for my reticence to post on the subject is that my own efforts to develop a volatility forecasting model have demonstrated that whatever proficiency I am developing seems to be limited to at most a 2-3 week forecasting period.
That being said, whenever I see Condor Options write about a subject that I have an interest in (which is almost every time something appears on their site), I take notice. Today my avian friends are tackling Forecasting S&P 500 Volatility, using a variety of approaches, including SPX implied volatility, VIX futures and a trio of GARCH(1,1) forecasting models. The consensus? None, really. The SPX IV data anticipates the most volatile future, while the GARCH(1,1) models see volatility dropping off more rapidly. Check out the full article for the details.
My forecast? Partly cloudy, with a chance of gradually diminishing volatility over the course of the next 2-3 weeks.