I am trying to construct a dummy variable in both a AR(1) GJR and AR (1) Garch-m to measure the impact of a short selling ban on the leverage effect and risk.
I.m not sure where to place the dummy variable to measure the impact correctly.
Would I place the dummy in the variance equation for the GJR to measure the leverage impact and for the Garch-m place the dummy in the mean equitation.
Any advice or suggestions would be greatly appreciated.
Thanks
