MSGARCH (version 1.3)

BIC: Bayesian information criterion (BIC).

Description

Method which computes the Bayesian information criterion (BIC) from a fit object of type MSGARCH_ML_FIT created with FitML or MSGARCH_MCMC_FIT created with FitMCMC.

Usage

BIC(fit)
# S3 method for MSGARCH_ML_FIT
BIC(fit)
# S3 method for MSGARCH_MCMC_FIT
BIC(fit)

Arguments

fit

Fit object of type MSGARCH_ML_FIT created with FitML or MSGARCH_MCMC_FIT created with FitMCMC

Value

BIC value.

Details

Computes the Bayesian information criterion (BIC) based on the work of Schwarz (Schwarz, 1978). If a matrix of MCMC posterior draws is given, the BIC on the posterior mean is calculated.

References

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

Examples

# NOT RUN {
# load data
data("SMI", package = "MSGARCH")

# create model specification
# MS(2)-GARCH(1,1)-Normal (default)
spec <- CreateSpec()

# fit the model on data by ML
fit <- FitML(spec = spec, data = SMI)

# compute BIC
BIC(fit)
# }