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!