# process (3) - Linux Man Pages

## process: 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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