Forecasting stock market volatility with macroeconomic variables in real time

Christian Pierdzioch, Jörg Döpke and Daniel Hartmann

Journal of Economics and Business, 2008, vol. 60, issue 3, pages 256-276

Abstract: 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.

Date: 2008

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Working Paper: Forecasting stock market volatility with macroeconomic variables in real time (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:jebusi:v:60:y:2008:i:3:p:256-276

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