The question related to How to implement dummy variables into GARCH(1,1) model from structural breaks (ICSS)
I have a simple question about that.
Suppose my series have two breaks on t=2 and t=5 for the simplicity. My dummies should be as:
D1: 0111111111.. to n D2: 0000111111.. to n
D1: 0111000000.. to n D2: 0000111111.. to n
In other words, my first dummy takes the value of 1 from the breakpoint to n or to second breakpoint.