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