Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19749
Authors: 
Döpke, Jörg
Hartmann, Daniel
Pierdzioch, Christian
Year of Publication: 
2006
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

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