VAR with Exogenous Variables

[iit_mirabel]

Hi,
I'm creating a VAR model that has 3 endogenous variables- turnover, market return and individual return, and an exogenous variable, volatility. I would like to find the lag for the exogenous variable which according to the literature is not the same as the endogenous variables. How do I go about finding the lag structure for my exogenous variable?