Hi everybody,
I have fitted an ar(1),Garch(1,1) model to some observations with the
help of the garchFit function which is in the fGarch package. Here
what I've done:
library("fGarch")
fit = garchFit(formula=~ar(1)+~garch(1,1), data=garat)
Now I want to count AIC for this model. How can I do it? I cannot do
it with the AIC function of stats package, because R tells me:
"Error in UseMethod("logLik") : no applicable method for
"logLik"
Best regards,
Vasileios Ismyrlis
Vasileios Ismyrlis <vasismir <at> gmail.com> writes:> > library("fGarch") > fit = garchFit(formula=~ar(1)+~garch(1,1), data=garat) > > Now I want to count AIC for this model. How can I do it? I cannot do > it with the AIC function of stats package, because R tells me: > "Error in UseMethod("logLik") : no applicable method for "logLik"I don't understand the structure of fGARCH objects at all, but summary(fit) will give you a list of 4 different information criteria [AIC, BIC, SIC, HQIC]. Ben Bolker