This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point … vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both … with constant and time-varying autoregressive coefficients), stochastic volatility following a stationary AR process …

VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine … transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data … the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …

This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point … vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both … with constant and time-varying autoregressive coefficients), stochastic volatility following a stationary AR process …