%% Create GJR Model with Known Coefficients
% Create a GJR(1,1) model with mean offset
% {y_t} = 0.5 + {\varepsilon _t},
% where {\varepsilon _t} = {\sigma _t}{z_t},
% \sigma _t^2 = 0.0001 + 0.35\sigma _{t - 1}^2 +
% 0.1\varepsilon^2_{t - 1} +
% 0.03\varepsilon^2_{t-1}I(\varepsilon_{t-1}<0) +
% 0.01\varepsilon^2_{t-3}I(\varepsilon_{t-3}<0),
% and z_{t} is an independent and identically distributed standard Gaussian process.

Mdl = gjr('Constant',0.0001,'GARCH',0.35,...
    'ARCH',0.1,'Offset',0.5,'Leverage',{0.03 0 0.01})

% gjr assigns default values to any properties you do not specify with name-value pair arguments. An alternative way to specify the leverage component is 'Leverage',{0.03 0.01},'LeverageLags',[1 3].
% Copyright 2015 The MathWorks, Inc.