LAUSR

We forecast macroeconomic and financial uncertainties of the US over the period of 1960:Q3 to 2018:Q4, based on a large data set of 303 predictors using a wide array of constant parameter and time varying models. We find that uncertainty is indeed forecastable, but while accurate point forecasts can be achieved without incorporating time-variation in the parameters of the small-scale models for macroeconomic uncertainty and large-scale models for financial uncertainty, it is indeed a requirement, along with a large data set, when producing precise density forecasts for both types of uncertainties.