Get startedGet started for free

Comparing likelihood and information criteria

You need to analyze the EUR/USD returns. The constant mean standard GARCH model with student t distribution and the AR(1) GJR GARCH model with skewed student t distribution have already been estimated, and the output has been saved as garchfit and gjrfit, respectively. In this exercise, you need to use information criteria to find out which model is best.

This exercise is part of the course

GARCH Models in R

View Course

Hands-on interactive exercise

Have a go at this exercise by completing this sample code.

# Print the number of estimated parameters
___(___(garchfit))
___(___(gjrfit))
Edit and Run Code