%% Specify GJR Model with Mean Offset
% This example shows how to specify a GJR(P, Q) model with a mean offset. Use name-value pair arguments to specify a model that differs from the default model.
% Specify a GJR(1,1) model with a mean offset,
% y_t = \mu + \varepsilon_t,
% where \varepsilon_t = \sigma_t z_t and
% \sigma _t^2 = \kappa  + {\gamma _1}\sigma _{t - 1}^2 + {\alpha _1}\varepsilon _{t - 1}^2 + {\xi _1}I\left[ {{\varepsilon _{t - 1}} < 0} \right]\varepsilon _{t - 1}^2.

Mdl = gjr('Offset',NaN,'GARCHLags',1,'ARCHLags',1,...
    'LeverageLags',1)

% The mean offset appears in the output as an additional parameter to be estimated or otherwise specified.
% Copyright 2015 The MathWorks, Inc.