Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time

44 Pages Posted: 8 Jun 2016

See all articles by Jörg Döpke

Jörg Döpke

Deutsche Bundesbank

Daniel Hartmann

Saarland University

Christian Pierdzioch

Saarland University - Department of Economics and Statistics

Date Written: 2006

Abstract

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

Keywords: Forecasting stock market volatility, Real-time macroeconomic data, Evaluation of forecasting accuracy

JEL Classification: G11, E44, C53

Suggested Citation

Döpke, Jörg and Hartmann, Daniel and Pierdzioch, Christian, Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time (2006). Bundesbank Series 2 Discussion Paper No. 2006,01, Available at SSRN: https://ssrn.com/abstract=2793975 or http://dx.doi.org/10.2139/ssrn.2793975

Jörg Döpke

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany
+49-069-9566-3051 (Phone)

Daniel Hartmann (Contact Author)

Saarland University ( email )

Stadtwald
Saarbrucken, Saarland D-66123
Germany

Christian Pierdzioch

Saarland University - Department of Economics and Statistics ( email )

P.O. Box 151150
D-66041 Saarbruecken
Germany
+49 681 302 58195 (Phone)
+49 681 302 58193 (Fax)

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