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
Calibrate to a set of market instruments (usually caps/swaptions)
An additional constraint can be passed which must be
satisfied in addition to the constraints of the model.
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
test calibration is not implemented for GJR-GARCH