Forecasting stock market volatility with macroeconomic variables in real time

Jörg Döpke, Daniel Hartmann and Christian Pierdzioch

No 2006,01, Discussion Paper Series 2: Banking and Financial Studies from Deutsche Bundesbank, Research Centre

Abstract: 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.

Keywords: Forecasting stock market volatility; Real-time macroeconomic data; Evaluation of forecasting accuracy (search for similar items in EconPapers)
JEL-codes: C53 E44 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin, nep-fmk, nep-for and nep-mac
Date: 2005
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