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

| 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_ | 
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