GarchInnovationDistribution Enumeration

Enumerates the possible distributions for the innovations process in a GARCH model.

Definition

Namespace: Extreme.Statistics.TimeSeriesAnalysis
Assembly: Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.23

public enum GarchInnovationDistribution

Visual Basic

Public Enumeration GarchInnovationDistribution

C++/CLI

public enum class GarchInnovationDistribution

type GarchInnovationDistribution

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.