GJRGARCHModel (3) - Linux Manuals
GJRGARCHModel: GJR-GARCH model for the stochastic volatility of an asset.
NAME
QuantLib::GJRGARCHModel - GJR-GARCH model for the stochastic volatility of an asset.
SYNOPSIS
#include <ql/models/equity/gjrgarchmodel.hpp>
Inherits QuantLib::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
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
Author
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