Garch Innovation Distribution Enumeration
Enumerates the possible distributions for the innovations process in a
GARCH model.
Definition
Namespace: Numerics.NET.Statistics.TimeSeriesAnalysis
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 9.0.3
C#
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 9.0.3
public enum GarchInnovationDistribution
Members
Normal | 0 | The innovations follow a standard normal distribution. |
StudentT | 1 | The innovations follow a student-t distribution where the degrees of freedom of the distribution is estimated along with the other parameters in the model. |
StudentTWithFixedDegreesOfFreedom | 2 | The innovations follow a student-t distribution where the degrees of freedom has a fixed value. |