QuantLib_GJRGARCHModel man page

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

Synopsis

#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.

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib