Fig. B.2.

MSE Objective Functions Using the 1990Q1–2019Q4 Subsample. Notes: This chart shows average MSE of the threshold-augmented dynamic output growth models $\mathrm{\Delta }{\mathit{gdp}}_{\mathit{it}}=c_i+{\rho }_i\mathrm{\Delta }{\mathit{gdp}}_{\mathit{it}-1}+{\phi }_i{z}_{t-1}\left(\gamma \right)+e_{\mathit{it}}$ estimated for the grid of threshold values (x-axis) for three choices of volatility measures: ${\mathit{grve}}_t$(solid blue line), ${\mathit{rvge}}_t$ (dotted orange line) and ${\mathit{vix}}_t$ (dashed green line).