[R-SIG-Finance] [R-sig-finance] Extracting AIC or Log-Likelihood from a fitted GARCH

Murilo Eiji Doi doi.murilo at gmail.com
Fri Jul 10 22:21:33 CEST 2009


to extract AIC , BIC or Log-likelihood of model 

fitmodel <- garchFit(~arma(3,3)+garch(1,1), data)
fitmodel at fit$ics   #is a vector with Information Criterion Statistics
> fitmodel at fit$ics[1]  #is AIC 
> fitmodel at fit$ics[2]  #is BIC 
> fitmodel at fit$value  #is Log-likelihood

Murilo Eiji Doi


Murilo Eiji Doi
http://pt.beezzer.com/rproject (help do R-project em português)

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