CODEWITHSUNDEEP
matlabtime-series
blue_arkedia
blue_arkedia

Reputation: 471

How can I apply the AIC criterion to time series data using MATLAB?

As part of the Econometrics Toolbox, how can i apply the AIC criterion to time series data using MATLAB.

Is there any way without using GARCH functions such as garchfit. If the only way to AIC is to apply GARCH functions, what is meant by number of parameters??

Upvotes: 0

Views: 6458

Answers (1)

Amro
Amro

Reputation: 124563

Eventhough I am not familiar with GARCH models, here's an example of how to use AIC/BIC for model selection (based on examples in the documentation):

load Data_MarkPound
dem2gbp = price2ret(Data);

%# fit model with specification parameters spec1
spec1 = garchset('P',1, 'Q',1, 'Display','off');
[coeff1,errors1,LLF1] = garchfit(spec1, dem2gbp);
numParams1 = garchcount(coeff1);
%#garchdisp(coeff1,errors1)

%# fit model with specification parameters spec2
spec2 = garchset('P',2, 'Q',1, 'Display','off');
[coeff2,errors2,LLF2] = garchfit(spec2, dem2gbp);
numParams2 = garchcount(coeff2);
%#garchdisp(coeff2,errors2)

%# find the best model with the smallest AIC/BIC
numObsv = length(dem2gbp);
[AIC1,BIC1] = aicbic(LLF1, numParams1, numObsv)
[AIC2,BIC2] = aicbic(LLF2, numParams2, numObsv)

Upvotes: 1

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