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Forecasting stock market volatility with macroeconomic variables in real time

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Author Info
Döpke, Jörg
Hartmann, Daniel
Pierdzioch, Christian

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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.

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Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2006,01.

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Date of creation: 2005
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Handle: RePEc:zbw:bubdp2:4357

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Related research
Keywords: Forecasting stock market volatility Real-time macroeconomic data Evaluation of forecasting accuracy

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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  1. West, Kenneth D. & Edison, Hali J. & Cho, Dongchul, 1993. "A utility-based comparison of some models of exchange rate volatility," Journal of International Economics, Elsevier, vol. 35(1-2), pages 23-45, August. [Downloadable!] (restricted)
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  2. von Kalckreuth, Ulf, 2005. "A “wreckers theory” of financial distress," Discussion Paper Series 1: Economic Studies 2005,40, Deutsche Bundesbank, Research Centre. [Downloadable!]
  3. Döpke, Jörg & Dovern, Jonas & Fritsche, Ulrich & Slacalek, Jirka, 2005. "European inflation expectations dynamics," Discussion Paper Series 1: Economic Studies 2005,37, Deutsche Bundesbank, Research Centre. [Downloadable!]
  4. Campbell, John Y. & Hilscher, Jens & Szilagyi, Jan, 2005. "In search of distress risk," Discussion Paper Series 1: Economic Studies 2005,27, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  5. Koetter, Michael & Bos, Jaap W. B. & Heid, Frank & Kool, Clemens J. M. & Kolari, James W. & Porath, Daniel, 2005. "Accounting for distress in bank mergers," Discussion Paper Series 2: Banking and Financial Studies 2005,09, Deutsche Bundesbank, Research Centre. [Downloadable!]
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