January 2018 RATSLetter
Posted: Thu Jan 18, 2018 4:30 pm
January 2018 Newsletter
Contents
Contents
- Updates to 2nd edition of Structural Breaks and Switching Models course and the State-Space/DSGE course.
- Updated examples and procedures. Most of the examples are covered as part of the new edition of the Structural Breaks course.
- Markov-Switching GARCH models. This is a summary of the section from the new edition of the Structural Breaks course.
- "How to Switch if you Must" describes the differences between three common types of regime-based behavior (structural break, threshold break and Markov switching) and how to choose which is appropriate.
- "Evaluation of GARCH Forecasts" looks at difficulties with using common forecast error statistics (like RMSE) in evaluating out-of-sample behavior of GARCH models.