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--></style></head><body lang=KO link=blue vlink="#954F72"><div class=WordSection1><p class=MsoNormal><span lang=EN-US>I am using the rugarch package estimate model(modifed GJR GARCH)</span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US style='font-family:"Verdana",sans-serif;color:black;background:white'> want to estimate the following model:<o:p></o:p></span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US><img width=479 height=322 style='width:4.9895in;height:3.3541in' id="그림_x0020_4" src="cid:image003.png@01D5E5AC.CAD54DD0"></span><span lang=EN-US><o:p></o:p></span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US>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. </span></p><p class=MsoNormal><span lang=EN-US>Some code just put dummy in external.regressors parameter .</span></p><p class=MsoNormal><span lang=EN-US>But ,that case, they get only one coef like vxreg1 </span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US style='font-size:12.0pt;font-family:"Helvetica",sans-serif;color:black;background:#FDFDFD'>I want to compare variables before and after the global crisis.<o:p></o:p></span></p><p class=MsoNormal><span lang=EN-US style='font-size:12.0pt;font-family:"Helvetica",sans-serif;color:black;background:#FDFDFD'> Like this</span><span lang=EN-US style='font-size:22.5pt;font-family:"Helvetica",sans-serif;color:black;background:#FDFDFD'> <img width=166 height=33 style='width:1.7291in;height:.3437in' id="그림_x0020_5" src="cid:image004.png@01D5E5AC.6F5896B0"><o:p></o:p></span></p><p class=MsoNormal><span lang=EN-US style='font-size:22.5pt;font-family:"Helvetica",sans-serif;color:black;background:#FDFDFD'><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US style='font-family:"Verdana",sans-serif;color:black;background:white'>I will be very grateful if you help me to get the solution</span><span lang=EN-US style='font-family:"Verdana",sans-serif;color:black'><br><br><span style='background:white'>Best regards,</span><br><br><br><span style='background:white'>sungju</span></span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US>Windows 10</span>용 <span lang=EN-US><a href="https://go.microsoft.com/fwlink/?LinkId=550986"><span lang=EN-US><span lang=EN-US>메일</span></span></a></span>에서 보냄</p><p class=MsoNormal><span lang=EN-US style='font-size:12.0pt;font-family:"굴림",sans-serif'><o:p> </o:p></span></p></div></body></html>