@krzysztofsztompka/garch
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    Type Alias GarchParams

    Model parameters in the units of the returns they were fitted to.

    type GarchParams = {
        alpha: number;
        beta: number;
        delta?: number;
        gamma: number;
        lambda?: number;
        mu: number;
        nu?: number;
        omega: number;
    }
    Index
    alpha beta delta? gamma lambda? mu nu? omega
    alpha: number
    beta: number
    delta?: number

    GARCH-X: the weight δ ≥ 0 of the exogenous x_{t−1} in s_t; absent without one.

    gamma: number

    0 for the symmetric model.

    lambda?: number

    Skewness of Hansen's skewed-t innovations, in (−1, 1); absent for normal and t.

    mu: number
    nu?: number

    Degrees of freedom of Student-t or skewed-t innovations (> 2); absent for normal ones.

    omega: number

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