MSGARCH (version 0.17.7)

BIC: Compute Bayesian information criterion (BIC).

Description

Compute Bayesian information criterion (BIC).

Usage

BIC(fit)

Arguments

fit

Fit object of type MSGARCH_MLE_FIT created with fit.mle or MSGARCH_BAY_FIT created with fit.bayes

Value

BIC value.

Details

If a matrix of MCMC posterior draws estimates is given, the BIC on the posterior mean is calculated.

References

Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, pp. 461-464.

Examples

# load data
data("sp500")
sp500 = sp500[1:1000]

# create model specification
spec = MSGARCH::create.spec() 

# fit the model by MLE                                                             
fit = MSGARCH::fit.mle(spec = spec, y = sp500, ctr = list(do.init = FALSE))

# compute BIC
BIC = MSGARCH::BIC(fit)