GJRGARCHModel Class Reference

GJR-GARCH model for the stochastic volatility of an asset. More...

#include <ql/models/equity/gjrgarchmodel.hpp>

Inheritance diagram for GJRGARCHModel:

List of all members.

Public Member Functions

 GJRGARCHModel (const boost::shared_ptr< GJRGARCHProcess > &process)
Real omega () const
Real alpha () const
Real beta () const
Real gamma () const
Real lambda () const
Real v0 () const
boost::shared_ptr
< GJRGARCHProcess
process () const

Protected Member Functions

void generateArguments ()

Protected Attributes

boost::shared_ptr
< GJRGARCHProcess
process_


Detailed Description

GJR-GARCH model for the stochastic volatility of an asset.

References:

Glosten, L., Jagannathan, R., Runkle, D., 1993. Relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48, 1779-1801

Tests:
calibration is not implemented for GJR-GARCH