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Discrete-response state space models with conditional heteroscedasticity: An application to forecasting the federal funds rate target

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Figure

Figure 1: Empirical analysis: Path of the posterior means ofthe time-varying parameters obtained from the OSSMM-SVmodel
Table 2: Empirical results
Table 1: Simulation results for the OSSMM-SV model
Figure 1: Simulated data: Path of the estimated αOSSMM-SV model; T=1000. True path (black), posterior mean (blue),1t and α2t for thetwo standard deviation bands (red).

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