Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

Todd Clark, Michael McCracken and Elmar Mertens

No 667, BIS Working Papers from Bank for International Settlements

Abstract: We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee's Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-horizon speci cation of stochastic volatility. Compared to constant-variance approaches, our stochastic-volatility model improves the accuracy of uncertainty measures for survey forecasts.

Keywords: stochastic volatility; survey forecasts; fan charts (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2017-10
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for, nep-mac, nep-ore and nep-rmg
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2020)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:667

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