I would like to try to replicate this variance dummied model in r studio, to try to compare garch vs i.v in forecasting vol: Data : S&P 500 log-return from 03.01.2020 to 31.12.2022 Ext regressor : Vix from 03.01.2020 to 31.12.2022. Have you some idea of how to replicate this with the rugarch package? I tought about computing the various garch with vixt-1 as external regressor and then regress the arch vol as dipendent variable. If you have some insight let me know