Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Todd E Clark,
Michael McCracken () and
Elmar Mertens ()
No 667, BIS Working Papers from Bank for International Settlements
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: E37 C53 (search for similar items in EconPapers)
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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Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2018)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
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