Table 2.
Performance measures for univariate Markov switching models.
|
Asia |
Europe |
USA |
||||
|---|---|---|---|---|---|---|
| AIC | BIC | AIC | BIC | AIC | BIC | |
| 2-State MSIAH | 464 | 497 | 474 | 507 | 522 | 555 |
| 3-State MSIAH | 486 | 555 | 432 | 502 | 528 | 598 |
| 2-State MSIH | 501 | 528 | 457 | 483 | 526 | 552 |
| 3-State MSIH | 518 | 577 | 433 | 492 | 540 | 599 |
For each geographic location, the first column shows the Akaike's Information Criteria (AIC), and the second column represents the Bayesian Information Criteria(BIC). The “best” model as determined by the lowest AIC/BIC is highlighted for each row. The sample period is from January 2020 to October 2020.