GJRGARCHModel Class Reference
GJR-GARCH model for the stochastic volatility of an asset. More...
#include <ql/models/equity/gjrgarchmodel.hpp>
Inheritance diagram for GJRGARCHModel:

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