[Tex/LaTex] Formating caption figure

Question

How does one create the following format in TeX:

Raw figure:

Raw text :

If $μ=0$ and $σ=1$, the distribution is called the “standard normal distribution” or the “unit normal distribution” denoted by $N(0,1)$ and a random variable with that distribution is a “standard normal deviate”.

I use the following code:

\begin{figure}[h]
\centering
\includegraphics{Normal.png}
\caption{If $μ=0$ and $σ=1$, the distribution is called the “standard normal distribution” or the “unit normal distribution” denoted by $N(0,1)$ and a random variable with that distribution is a “standard normal deviate”}
\end{figure}

but it doesn't yield the format like I want.

Answer 1

Use caption package, with labelfont=bf key for label in bold series and format=hang for indent the caption text.

\documentclass{article}
\usepackage{mwe}
\usepackage{caption}
\captionsetup{labelfont=bf,format=hang,labelsep=period}
\begin{document}
\begin{figure}[h]
\centering
\includegraphics{example-image}
\caption{If $μ=0$ and $σ=1$, the distribution is called the “standard normal distribution” or the “unit normal distribution” denoted by $N(0,1)$ and a random variable with that distribution is a “standard normal deviate”}
\end{figure}
\end{document}

EDIT I add labelsep=period as suggested by @Very23