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
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Print the number of estimated parameters
___(___(garchfit))
___(___(gjrfit))