Answer by itzy for What is the "Generalized Error Distribution"?
These are indeed the same distribution. I've found several parameterizations in use:The Nelson (1991) parameterization is$$f(z) = \frac{\nu\cdot\exp\left[ -\frac{1}{2}|z/\lambda|^{\nu} \right]}{\lambda...
View ArticleWhat is the "Generalized Error Distribution"?
In Nelson (1991), which develops the Exponential GARCH model, he refers (p. 352) to the "Generalized Error Distribution (GED)" and provides this density function:$$f(z; \nu) = \frac{\nu\cdot\exp\left[...
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