t-distribution degree of freedom
Posted: Mon Jul 27, 2009 4:22 am
In any GARCH class models, under student-t distribution, there is a parameter tells the degree of freedom for t-distribution, an example as follow,
Variable Coefficient Std. Error z-Statistic Prob.
T-DIST. DOF 4.022850 0.182659 22.02384 0.0000
From my understanding, the result shows student-t is significant. what about Coeff, Std. error and Z-state tells? Thanks
Variable Coefficient Std. Error z-Statistic Prob.
T-DIST. DOF 4.022850 0.182659 22.02384 0.0000
From my understanding, the result shows student-t is significant. what about Coeff, Std. error and Z-state tells? Thanks