
I'm using the RUGARCH package.
The original AR(1)-GARCH(1,1) model is:
Y_t = phi_0 + phi_1 Y_{t-1} + epsilon_t
sigma_t^2 = omega + alpha_1 epsilon_{t - 1}^2 + beta_1 sigma_{t-1}^2
 
Now I'm trying to add indicator vector to the original model.
Let i denote the indicator vector [0,...,0,1,...,1].
The new model like this,
Y_t = phi_0 + phi_1 Y_{t-1} + phi_2 * i + phi_3 Y_{t-1}* i + epsilon_t
sigma_t^2 = omega + alpha_1 epsilon_{t - 1}^2 + beta_1 sigma_{t-1}^2 + omega_1 * i + alpha_2 epsilon_{t - 1}^2* i + beta_2 sigma_{t-1}^2* i
 
My code for new AR(1) model is
a = rep(0, 1000);
b = rep(1, 1000);
indicator = c(a,b);
ylag=embed(y,2);
mean.model = list(armaOrder = c(1,0), include.mean = TRUE, garchInMean = FALSE, inMeanType = 1, arfima = FALSE, external.regressors =as.matrix(indicator, indicator*ylag[,1]))
 
Then how can I write variance.model?

Thanks,
Juan Lin
 		 	   		  
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