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