[R-SIG-Finance] How to calculate AIC and BIC for GBM and OU processes in R

ousbens simon.fnb at gmail.com
Sat Jun 15 18:24:00 CEST 2013


I would like to find out if a GBM (Geometric Brownian motion) process or a
mean reverting Ornstein-Uhlenbeck (OU) process fits better to a time series.

To determine this I would like to calculate the AIC, BIC and Log Likelihood
values for the GBM and OU processes (and also for a simple Jump diffusion
process).

How can this be done in R?

Many thanks. 



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