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    %% 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.   

% Copyright 2015 The MathWorks, Inc.


%%  
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]|.