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Title:Forecasting stock market volatility with macroeconomic variables in real time PDF Logo
Authors:Döpke, Jörg
Hartmann, Daniel
Pierdzioch, Christian
Issue Date:2005
Series/Report no.:Discussion Paper, Series 2: Banking and Financial Supervision 2006,01
Abstract:We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of forecasts based on revised macroeconomic data.
Subjects:Forecasting stock market volatility
Real-time macroeconomic data
Evaluation of forecasting accuracy
JEL:G11
E44
C53
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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