IMSL C# Numerical Library

GARCH.MaxSigma Property

The value of the upperbound on the first element (sigma) of the array of returned estimated coefficients.

public double MaxSigma {get; set;}

Property Value

A double scalar containing the value of the upperbound on the first element (sigma) of the array of returned estimated coefficients.

Remarks

By default, MaxSigma= 10.

See Also

GARCH Class | Imsl.Stat Namespace