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

want to estimate the following model:

enter image description here

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 n 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 enter image description here

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

Nikolai Shevchenko
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quntom
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