Point and density forecasting of macroeconomic and financial uncertainties of the USA

We forecast macroeconomic and financial uncertainties of the USA over the period of 1960:Q3 to 2018:Q4, based on a large dataset 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, this is indeed a requirement, along with a large dataset, for producing precise density forecasts under both types of uncertainty.