I use this command to obtain the volatility of variable 'y' over time by using the ARMA-GARCH model.
Is it possible to use Akaike’s or Schwarz’s Bayesian information criteria (AIC or BIC) in this model to find the best fit? How can I do that?
Code:
arch y, arch(1) garch(1) ar(1) ma(1) predict Vol, variance
