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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
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http://hdl.handle.net/10419/19749
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| Title: | | Forecasting stock market volatility with macroeconomic variables in real time  |
| 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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