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nbbo2
nbbo2
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I have a question about comprasioncomparison of different GARCH models via information criteria. I

I use rugarch package. So, let's have 3 model types: "sGARCH", "eGARCH", "gjrGARCH". I fit all 3 type models for same time series, for example, for p=q=1. Could I use IC (BICBIC, for example) for best model selection viaamong these 3 types? If not, what's the best method for this?

Thank you.

I have a question about comprasion of different GARCH models via information criteria. I use rugarch package. So, let's have 3 model types: "sGARCH", "eGARCH", "gjrGARCH". I fit all 3 type models for same time series, for example, for p=q=1. Could I use IC (BIC, for example) for best model selection via these 3 types? If not, what's the best method for this?

Thank you.

I have a question about comparison of different GARCH models via information criteria.

I use rugarch package. So, let's have 3 model types: "sGARCH", "eGARCH", "gjrGARCH". I fit all 3 type models for same time series, for example, for p=q=1. Could I use IC (BIC, for example) for best model selection among these 3 types? If not, what's the best method for this?

Thank you.

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Dmitriy
Dmitriy
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Information criteria via different GARCH models

I have a question about comprasion of different GARCH models via information criteria. I use rugarch package. So, let's have 3 model types: "sGARCH", "eGARCH", "gjrGARCH". I fit all 3 type models for same time series, for example, for p=q=1. Could I use IC (BIC, for example) for best model selection via these 3 types? If not, what's the best method for this?

Thank you.