[R] [No Subject]

[Adrian Trapletti]

> 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.
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>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
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