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Forecasting stock market volatility with macroeconomic variables in real time

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

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: 2006
Handle: RePEc:zbw:bubdp2:4357
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