QuantLib_GJRGARCHModel man page

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


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

Inherits CalibratedModel.

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_

Additional Inherited Members

Detailed Description

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


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


calibration is not implemented for GJR-GARCH


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Referenced By

The man pages GJRGARCHModel(3), process(3) and v0(3) are aliases of QuantLib_GJRGARCHModel(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib