[R] Extract AIC, BIC

[Spencer Graves]

	  Which Garch function are you using?  help.search("garch") identified 
garch functions in fOptions, fSeries, and tseries.  If you try 
RSiteSearch("garch", "functions"), you might find others.

	  I just tried 'library(tseries)' and tried an example in 
help("garch").  I modified this slightly to produce the following:

      n <- 1100
      a <- c(0.1, 0.5, 0.2)  # ARCH(2) coefficients
      e <- rnorm(n)
      x <- double(n)
      x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
      for(i in 3:n)  # Generate ARCH(2) process
      {
        x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
      }
      x <- ts(x[101:1100])
      x.arch <- garch(x, order = c(0,2))  # Fit ARCH(2)
      summary(x.arch)                     # Diagnostic tests

logLik(x.arch)
AIC(x.arch)

	  Getting the BIC would be slightly more difficult, but the following 
would lead you to code that you should be able to modify to get what you 
want:

 > class(x.arch)
[1] "garch"
 > methods(class="garch")
[1] coef.garch*      fitted.garch*    logLik.garch*    plot.garch*
[5] predict.garch*   print.garch*     residuals.garch* summary.garch*

    Non-visible functions are asterisked
 > methods("AIC")
[1] AIC.default* AIC.logLik*

    Non-visible functions are asterisked
 > getAnywhere("AIC.default")
 > getAnywhere("AIC.logLik")

	  hope this helps,
	  spencer graves

Sumanta Basak wrote:

> Hi All,
> 
> How can extract AIC,BIC from a fitted Garch model?
> 
> --
> SUMANTA BASAK.
> 
> 	[[alternative HTML version deleted]]
> 
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