10.6084/m9.figshare.1332456.v2 Massimiliano Marcellino Massimiliano Marcellino Mario Porqueddu Mario Porqueddu Fabrizio Venditti Fabrizio Venditti Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility Taylor & Francis Group 2016 Business cycle Mixed-frequency data Nonlinear models Nowcasting 2016-01-29 08:49:34 Dataset https://tandf.figshare.com/articles/dataset/Short_term_GDP_forecasting_with_a_mixed_frequency_dynamic_factor_model_with_stochastic_volatility/1332456 <p>In this article, we develop a mixed frequency dynamic factor model in which the disturbances of both the latent common factor and of the idiosyncratic components have time-varying stochastic volatilities. We use the model to investigate business cycle dynamics in the euro area and present three sets of empirical results. First, we evaluate the impact of macroeconomic releases on point and density forecast accuracy and on the width of forecast intervals. Second, we show how our setup allows to make a probabilistic assessment of the contribution of releases to forecast revisions. Third, we examine point and density out of sample forecast accuracy. We find that introducing stochastic volatility in the model contributes to an improvement in both point and density forecast accuracy. Supplementary materials for this article are available online.</p>