自问自答填坑了，好像是在ugarchspec（）里面mean.model中external。regressors后添加一个矩阵
例：
spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),
submodel = NULL, external.regressors = NULL, variance.targeting = FALSE),
mean.model = list(armaOrder = c(0, 0), external.regressors = matrix(data[,2]),
distribution.model = "norm", start.pars = list(), fixed.pars = list()))
引用自：http://stats.stackexchange.com/questions/45482/how-to-estimate-garch-in-r-exogenous-variables-in-mean-equation

建议看一下帮助文档。