The forecasting literature has identified two important issues: (i) several predictors have substantial and … learned about forecasting in the presence of instabilities. The empirical evidence raises a multitude of questions. If in …-sample tests provide poor guidance to out-of-sample forecasting ability, what should researchers do? If there are statistically …

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …