We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, 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 …

We compared forecasts of stock market volatility based on real-time and revised …

bad) stock market volatility, we show that incorporating the information in lagged industry returns can help improve out …-of sample forecasts of aggregate stock market volatility. While the predictive contribution of industry level returns is not … crisis, highlighting the informational value of real economic activity on stock market volatility dynamics. Finally, we show …