%% Specify GJR Model with Known Coefficients
% Specify a GJR(1,1) model with mean offset,
% {y_t} = 0.2 + {\varepsilon _t},
% where {\varepsilon _t} = {\sigma _t}{z_t},
% \sigma _t^2 = 0.001 + 0.6\sigma _{t - 1}^2 + 0.3\varepsilon _{t - 1}^2 + 0.1I\left[ {{\varepsilon _{t - 1}} < 0} \right]\varepsilon _{t - 1}^2,
% and z_{t} is an independent and identically distributed standard Gaussian process.

Mdl = gjr('Offset',0.2,'Constant',0.001,...
            'GARCH',0.6,'ARCH',0.3,'Leverage',0.1)

% gjr assigns default values to the properties P and Q.
% Copyright 2015 The MathWorks, Inc.