Code to forecast Threshold models

[Ana_Rita]

Dear Tom,

I want to do a forecasting exercise on a threshold Fama model (where each branch is a GARCH specification, with dependant variable being the exchange rate return, and the regressor being the forward premium) to try and produce the same type of forecasting exercise as shown in Table 5 of "An economic evaluation of empirical exchange rates models" by P. Della Corte, L. Sarno and I. Tsiakas (2009), Review of Financial Studies 22, 3491-3530.

I am (very!) new to forecasting methods on nonlinear models but from what i understood, the authors used a Bayesian winner strategy. I looked through the website and i could not find a code for forecasting nonlinear models.

Could you please provide me with some guidance?

Many many thanks for your time!
Ana