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Exercise

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.

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  • Print the number of estimated parameters for each model.
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