[R] Extract AIC, BIC

Spencer Graves spencer.graves at pdf.com
Sun Apr 23 16:20:06 CEST 2006

	  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


	  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 

 > 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?
> --
> 	[[alternative HTML version deleted]]
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