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Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

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 …

Persistent link: https://www.econbiz.de/10003315444

Real-time forecasting and political stock market anomalies : evidence for the U.S.

Bohl, Martin T. (contributor); Döpke, Jörg (contributor); … - 2006

Using monthly data for the period 19532003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model...

Persistent link: https://www.econbiz.de/10003359007