sorry to bother all, I am recently doing a topic about spillover effect between two markets. And I want to use AR(1)-GJR-GARCH(1,1)-M Model. I find that rgarch package has functions for univariate GARCH model, including GJR. My GJR model is http://r.789695.n4.nabble.com/file/n3706508/formula.jpg where ?_(j,t-1)^2 is the squared volitility of counterpart market, ?_(i,t-1)^2 is the squared volitility of domestic market. S represent good news or bad news. and i write the R code as followings, variance.model=list(model="gjrGARCH",garchOrder=c(1,1), external.regressors=lagvoljp) mean.model=list(armaOrder=c(1,0),include.mean=TRUE,garchInMean=TRUE,inMeanType=2,arfima=FALSE,external.regressors=ljp) spec=ugarchspec(variance.model=variance.model,mean.model=mean.model, distribution.model="norm") fit3.sh=ugarchfit(data=shl,spec=spec,out.sample=0,solver="solnp") But then I figure out that in normal GJR model, the fomula is http://r.789695.n4.nabble.com/file/n3706508/formula1.jpg which means it catches news from domestic market. But in my model, it should catch news from counterpart market, Here is my question, How could i change the code to let the S reflects the effect from counterpart market? Thisi is important for me! Thank you so much! Sincerely, Zoe -- View this message in context: http://r.789695.n4.nabble.com/About-AR-1-GJR-GARCH-1-1-MODEL-tp3706508p3706508.html Sent from the R help mailing list archive at Nabble.com.