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hic
2008 Nov 04
1
AIC in time series
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
2010 Mar 17
1
Reg GARCH+ARIMA
Hi,
Although my doubt is pretty,as i m not from stats background i am not sure
how to proceed on this.
Currently i am doing a forecasting.I used ARIMA to forecast and time series
was volatile i used garchFit for residuals.
How to use the output of Garch to correct the forecasted values from ARIMA.
Here is my code:
###delta is the data
fit<-arima(delta,order=c(2,,0,1))
fit.res <-