Volatility Spill over Effect in R

I hope you all are having an awesome day. I am doing research to study the Volatility Spill Effect. Where I have time-series data of Indonesian stock price (Jakarta composite index or JKSE), an exchange rate (IDR/USD), and oil price BRENT. My dependent variable is stock price and vice versa. What would be the best model to study the spillover effect on Stock prices.

I was thinking of using VAR-GARCH or BEKK GARCH Model in Rstudio. Any suggestion would be highly appreciated.

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