The model of volatility of the exchange rate (RUR/USD), based on the fractal characteristics of time series
The paper develops volatility forecasting model for exchange rate RUR/USD. To forecast volatility we decompose it to components, characterizing fractal structure of financial time series. Using regression analysis we confirm quasi-cyclical time structure for one of the fractal parameter. We discuss possibilities of the method to predict volatility, including forecasting market transition to unsteady state.