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Forecasting stock market volatility with macroeconomic variables in real time

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  • Pierdzioch, Christian
  • Döpke, Jörg
  • Hartmann, Daniel

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 60 (2008)
Issue (Month): 3 ()
Pages: 256-276

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Handle: RePEc:eee:jebusi:v:60:y:2008:i:3:p:256-276

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Web page: http://www.elsevier.com/locate/jeconbus

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Cited by:
  1. Dimitrios Subeniotis & Dimitrios Papadopoulos & Ioannis Tampakoudis & Athina Tampakoudi, 2011. "How Inflation, Market Capitalization, Industrial Production and the Economic Sentiment Indicator Affect the EU-12 Stock Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 105-120.
  2. Christian Pierdzioch, 2012. "Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 87-96, May.
  3. Ansgar Belke & Marcel Wiedmann, 2013. "Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models," ROME Working Papers 201308, ROME Network.
  4. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  5. Ansgar Belke & Marcel Wiedmann, 2013. "Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models," Ruhr Economic Papers 0435, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

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