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Forecasting stock market volatility with macroeconomic variables in real time

Listed author(s):
  • Pierdzioch, Christian
  • Döpke, Jörg
  • Hartmann, Daniel

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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File URL: http://www.sciencedirect.com/science/article/pii/S0148-6195(07)00024-0
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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