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MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes

Author

Listed:
  • Joanna Janczura
  • Rafal Weron

Programming Language

MATLAB

Abstract

MRS2_PLOT(KSI_TT,DATA) generates a figure with two panels visualizing calibration results for a Markov regime-switching (MRS) model with 2 regimes fitted to time series DATA. In the bottom panel probabilities KSI_TT that an observation comes from the spike (i.e. second) regime are plotted. In the top panel the time series is displayed with observations identified as belonging to the spike regime (i.e. having KSI_TT>0.5) marked by red dots. MRS2_PLOT(KSI_TT,DATA,YLAB,XLAB,TIT,POS) allows to specify ylabel (YLAB), xlabel (XLAB), title (TIT) and position of the plot (POS=1 for left panel, POS=2 for right panel and POS=0 for the whole figure).

Suggested Citation

  • Joanna Janczura & Rafal Weron, 2011. "MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes," HSC Software M11004, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:hscode:m11004
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/mrs2_plot.m
    File Function: Program file
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