[R-SIG-Finance] Different external regressor in rugarch give the same result

[Dessy Anggraeni]

Hi all,

I use rugarch package 1.2-9 to measure rice price volatility volatility 
with GARCH model including external regressor in the variance model. 
This package works well, however, it seems like the result doesn't 
response to change in value of external regressors.

I test 2 external regressors:

1.A matrix of dummy variable containing only 0 and 1

2.Cross-sectional stock level to price return data (attached)

Here is the code that I use. Can anybody advise me what's wrong?
Thanks a lot in advance.
Best Regards,
Dessy


*1.**With dummy variable (0 and 1) as external regressor*

# where the dummy variable is define as:

mat <- matrix(, nrow = n.row, ncol = 1)

for(i in 1:652){

mat[i,] <- 0

}

for(i in 501:n.row){

mat[i,] <- 1

}

spec2 <- ugarchspec(

variance.model =

list(model = "fGARCH", garchOrder = c(1,1), submodel = "GARCH", 
external.regressors = mat, variance.targeting = FALSE),

mean.model =

list(armaOrder = c(12,0), external.regressors = NULL), 
distribution.model = "norm")

fit = ugarchfit(spec = spec2, data=xz)

*2.**With crosssectional stock level estimation as external regressor*

# matrix m is cross sectional stock level data

m <- matrix(cross)

spec2 <- ugarchspec(

variance.model =

list(model = "fGARCH", garchOrder = c(1,1), submodel = "GARCH", 
external.regressors = m, variance.targeting = FALSE),

mean.model =

list(armaOrder = c(12,0), external.regressors = NULL), 
distribution.model = "norm")

fit = ugarchfit(spec = spec2, data=xz)

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