Resource title

Forecasting stock market volatility with macroeconomic variables in real time

Resource image

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Resource description

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.

Resource author

Jörg Döpke, Daniel Hartmann, Christian Pierdzioch

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/19749

Resource license

Adapt according to the presented license agreement and reference the original author.