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

[Murilo Eiji Doi]

Hi, 

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


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

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