[R-SIG-Finance] Estimate complex GJR-GARCH with exogeneous regressors in mean equation and dummy in variance equation

[Lin23]

Hello,

i had to estimate the following GJR-GARCH-Model:


http://r.789695.n4.nabble.com/file/n3937352/Unbenannt.jpg 

r = Index-Returns (log)
r (US / HS / B) = Index-Returns form foreign Stock Markets 
I = Dummy-Vaiabel -> Value of one in case of negative return shocks. Value
of zero when return innovation is zero or positive.

I want to estimte the Model with robust standard errors (Bollerslev and
Wooldridge, 1992)


Is there a package in R that can do this? The rugarch-package can include
exogeneous regressors to mean equation and variance equation. Is it possible
to model the mulitplicative dummy variable y(D) in the variance equation? 
Does somebody know a good source code that i can modify or is there an easy
way to modify the rugarch-package source code to estimate the model?
Thanks.

Greetings

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