Creating GARCH Dummy

General
1

Hello all,

I am running a standard GARCH model in Rstudio and I would like insert a dummy variable in the formula. I want to see if there is a change in the returns of S&P 500 by assigning "1" for the period since COVID-19 appeared and a value of "0" for the other periods.

This is the model:

spec = ugarchspec(mean.model = list(armaOrder=c(0,0)),variance.model = list(garchOrder=c(1,1),model="sGARCH"))
ugarchfit(spec,data=Currencies_R$RJPY)

Any ideas ?

2

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