Arbeitspapier
Forecasting stock market volatility with macroeconomic variables in real time
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 2 ; No. 2006,01
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Financial Markets and the Macroeconomy
Forecasting Models; Simulation Methods
- Thema
-
Forecasting stock market volatility
Real-time macroeconomic data
Evaluation of forecasting accuracy
Börsenkurs
Volatilität
Prognoseverfahren
Aktienmarkt
Konjunktur
Makroökonomischer Einfluß
Schätzung
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Döpke, Jörg
Hartmann, Daniel
Pierdzioch, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Döpke, Jörg
- Hartmann, Daniel
- Pierdzioch, Christian
- Deutsche Bundesbank
Entstanden
- 2006
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