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We study the problem of forecasting volatility for the multifractal randomwalk model. In order to avoid the ill posed problem of estimating thecorrelation length T of the model, we introduce a limiting object defined in aquotient space; formally, this object is an infinite range logvolatility. Forthis object and the non limiting object, we obtain precise prediction formulasand we apply them to the problem of forecasting volatility and pricing optionswith the MRW model in the absence of a reliable estimate of the averagevolatility and T.

Forecasting volatility with the multifractal random walk model