%% Specify Default GJR Model
% This example shows how to use the shorthand gjr(P,Q) syntax to specify the default GJR(P, Q) model, \varepsilon_t = \sigma_t z_t with a Gaussian innovation distribution and
% \sigma _t^2 = \kappa  + \sum\limits_{i = 1}^P {{\gamma _i}\sigma _{t - i}^2}  + \sum\limits_{j = 1}^Q {{\alpha _j}} \varepsilon _{t - j}^2 + \sum\limits_{j = 1}^Q {{\xi _j}} I\left[ {{\varepsilon _{t - j}} < 0} \right]\varepsilon _{t - j}^2.
% By default, all parameters in the created model have unknown values.
% Specify the default GJR(1,1) model:

Mdl = gjr(1,1)

% The output shows that the created model, Mdl, has NaN values for all model parameters: the constant term, the GARCH coefficient, the ARCH coefficient, and the leverage coefficient. You can modify the created model using dot notation, or input it (along with data) to estimate.
% Copyright 2015 The MathWorks, Inc.