Forecasting stock market volatility with macroeconomic variables in real time

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• 作者：Christian Pierdzioch ; Jö ; rg Dö ; pke ; Daniel Hartmann
• 关键词：Forecasting stock market volatility ; Real-time macroeconomic data ; Evaluation of forecasting accuracy
• 刊名：Journal of Economics and Business
• 出版年：2008
• 期刊代码：45_01486195
• 类别：bus
• 出版时间：May-June 2008
• 卷：60
• 期：3
• 页码：256-276
• 文件大小：323 K

摘要

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.