Formation of effective strategies of trade of financial asset price volatility using multifractal approach to predicting the daily volatility dynamics

Abstract

Volatility trading strategies based on forecasting daily volatility dynamics are discussed. Forecast daily volatility was carried out using GARCH- and multifractal GARCH-models constructed using the new author method that takes into account the importance of the way of volatility dynamics change. The results confirm the possibility of applying the proposed method of prediction of the dynamics of daily volatility for effective volatility trade.