المستودع الأكاديمي جامعة المدينة

Forecasting stock market volatility with macroeconomic variables in real time

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dc.creator Döpke, Jörg
dc.creator Hartmann, Daniel
dc.creator Pierdzioch, Christian
dc.date 2005
dc.date.accessioned 2013-10-16T07:06:37Z
dc.date.available 2013-10-16T07:06:37Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19749
dc.identifier ppn:511473419
dc.identifier RePEc:zbw:bubdp2:4357
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19749
dc.description We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. 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 forecasts based on revised macroeconomic data.
dc.language eng
dc.relation Discussion Paper, Series 2: Banking and Financial Supervision 2006,01
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G11
dc.subject E44
dc.subject C53
dc.subject ddc:330
dc.subject Forecasting stock market volatility
dc.subject Real-time macroeconomic data
dc.subject Evaluation of forecasting accuracy
dc.subject Börsenkurs
dc.subject Volatilität
dc.subject Prognoseverfahren
dc.subject Aktienmarkt
dc.subject Konjunktur
dc.subject Makroökonomischer Einfluß
dc.subject Schätzung
dc.subject Deutschland
dc.title Forecasting stock market volatility with macroeconomic variables in real time
dc.type doc-type:workingPaper


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