Forecasting stock market volatility with macroeconomic variables in real time

Forecasting stock market volatility with macroeconomic variables in real time

We compare forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we use a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994–2005. We use statistical criteria, a utility-based criterion, and an optio...

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Veröffentlicht in:Journal of economics and business 2008-05, Vol.60 (3), p.256-276
Hauptverfasser: Pierdzioch, Christian, Döpke, Jörg, Hartmann, Daniel
Format: Artikel
Sprache:eng
Schlagworte:
Comparative analysis
Evaluation of forecasting accuracy
Forecasting stock market volatility
Forecasting techniques
Macroeconomics
Real-time macroeconomic data
Securities markets
Studies
Volatility
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container_title Journal of economics and business
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creator Pierdzioch, Christian
Döpke, Jörg
Hartmann, Daniel
description We compare forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we use a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994–2005. We use statistical criteria, a utility-based criterion, 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 macroeconomic data is comparable to the value of forecasts based on revised macroeconomic data.
doi_str_mv 10.1016/j.jeconbus.2007.03.001
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subjects Comparative analysis
Evaluation of forecasting accuracy
Forecasting stock market volatility
Forecasting techniques
Macroeconomics
Real-time macroeconomic data
Securities markets
Studies
Volatility
title Forecasting stock market volatility with macroeconomic variables in real time
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