[R] About AR（1）-GJR-GARCH(1,1) MODEL

[zoe_zhang]

sorry to bother all,
I am recently doing a topic about spillover effect between two markets. And
I want to use AR(1)-GJR-GARCH(1,1)-M Model. I find that rgarch package has
functions for univariate GARCH model, including GJR.
My GJR model is

http://r.789695.n4.nabble.com/file/n3706508/formula.jpg 

where Ɛ_(j,t-1)^2 is the squared volitility of counterpart market,
Ɛ_(i,t-1)^2  is the squared volitility of domestic market. S represent good
news or bad news. and i write the R code as followings,

variance.model=list(model="gjrGARCH",garchOrder=c(1,1),
external.regressors=lagvoljp)
mean.model=list(armaOrder=c(1,0),include.mean=TRUE,garchInMean=TRUE,inMeanType=2,arfima=FALSE,external.regressors=ljp)
spec=ugarchspec(variance.model=variance.model,mean.model=mean.model,
distribution.model="norm")
fit3.sh=ugarchfit(data=shl,spec=spec,out.sample=0,solver="solnp")

But then I figure out that in normal GJR model, the fomula is
http://r.789695.n4.nabble.com/file/n3706508/formula1.jpg 
which means it catches news from domestic market.

But in my model, it should catch news from counterpart market, 
Here is my question,
How could i change the code to let the S reflects the effect from
counterpart market?

Thisi is important for me!
Thank you so much!

Sincerely,
Zoe

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