Working Paper
Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Abstract: We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee?s Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-horizon specification of stochastic volatility. Compared to constant-variance approaches, our stochastic-volatility model improves the accuracy of uncertainty measures for survey forecasts.
Keywords: Stochastic volatility; survey forecasts; fan charts; ;
https://doi.org/10.26509/frbc-wp-201715
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 2018-05-18
Number: 1715
Pages: 57 pages