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 …

volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …

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