[R-SIG-Finance] ruragrch package using dummy variables in gjr garch

[seaonju hong]

I am using the rugarch package estimate model(modifed GJR GARCH)


 want to estimate the following model:



I would like to see spillover effect from US to others and change pre and post crisis  but  I don’t know how to do add pre and post dummy  in rugarch. 
Some code  just  put  dummy  in external.regressors parameter .
But ,that case,  they get only one coef  like vxreg1 

I want to compare variables before and after the global crisis.
 Like this 

I will be very grateful if you help me to get the solution

Best regards,


sungju




Windows 10용 메일에서 보냄


-------------- next part --------------
An HTML attachment was scrubbed...
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20200217/d78e9355/attachment.html>

-------------- next part --------------
A non-text attachment was scrubbed...
Name: 7C768957E8DA484F82AB8818E5A03ACC.png
Type: image/png
Size: 865 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20200217/d78e9355/attachment.png>

-------------- next part --------------
A non-text attachment was scrubbed...
Name: 19A506C5CAE5490591B932D21C1550A5.png
Type: image/png
Size: 36073 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20200217/d78e9355/attachment-0001.png>