> Date: Wed, 27 Nov 2002 20:49:55 +0200 (Egypt Standard Time)
> From: "Tamer Elbayoumy" <t.m.b at masrawy.com>
> Subject: [R] [No Subject]
>
> Hi,I try to calcualte AIC or Loglik to GARCH model,But the Packege Tseries
do not deal with them.How can I calculate AIC or Loglike to GARCH Model By
Packege Tseries?
> Thanks.
> ____________________________________________________
> Free Internet Access NOW!
> In Alexandria, Ismaileya, Suez, Portsaid, Hurgadha, Sharm
> Banha, Shebin El-Kom, Damietta,
> Tanta, Zagazig, Mansoura, Damanhour, Assyout, Qena
> Sohag, and Beni-Suef!
> Just dial 0707 - 0101 or visit: http://s2.masrawy.com/main/wellcome/001.htm
>From ?garch:
Value:
A list of class `"garch"' with the following elements:
...
n.likeli: the negative log-likelihood function evaluated at the coefficient
estimates (apart from some constant).
I followed "T. Bollerslev (1986): Generalized Autoregressive Conditional
Heteroscedasticity, Journal of Econometrics 31, 307-327". For the
definition of the "negative log-likelihood apart from some constant"
of garch(), see in particular eq. (18) of the reference.
best
Adrian
--
Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631
Trapletti Statistical Computing Mobile: +41 (0)76 370 5631
Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631
CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch
Switzerland WWW : http://trapletti.homelinux.com
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request at
stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._