. However, recent sharp changes in macroeconomic volatility such as the Great Moderation and the more recent sharp rise in … volatility associated with greater variation in energy prices and the deep global recession pose significant challenges to …, inflation, and the federal funds rate from VAR models with stochastic volatility. The model of interest extends the steady state …

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …