First I am confused what the ugarchfit in the rugarch package means by likelihood versus loglikelihood. In the complete ugarchfit output it says "log-likelihood". But when extracting the likelihood by the function likelihood() we get the same number. Here http://www.inside-r.org/packages/cran/rugarch/docs/getspec it is stated that this latter function should extract the likelihood, not the loglikelihood.
I tried to find out the truth by replicating the AIC - since I know that this uses the loglikelihood. AIC = 2k-2*ln(Likelihood). But I could not replicate the AIC as estimated by the ugarchfit-function at all. No matter if I interpret the result from above as a likelihood or as a log-likelihood value.
Where is the error in my thinking???
require('rugarch')
require('rmgarch')
data(dji30retw)
dat <- dji30retw$AA
spec1 <- ugarchspec(
variance.model = list(model = "sGARCH", garchOrder = c(1,1), submodel = NULL)
, mean.model = list( armaOrder =c(0,0) ) , distribution.model = "norm" )
garch1 <- ugarchfit(spec=spec1, data=dat ); garch1
# here it says: "LogLikelihood : 1901.706"
l1 = likelihood(garch1); l1
# again 1901.706, but this should be the likelihood???
# extract the AIC
infocriteria(garch1)
# gives: AIC = -3.326390
# Calculate AIC manually: AIC = 2k-2*ln(Likelihood) where k= number of parameters
# we've got 4 parameters here: alpha1, beta1, mu, omega
2*4-2*l1
# -3795.412 ...wrong result!
2*4-2*log(l1)
# -7.101013 ...wrong result!
