- 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 |
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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