Add exogenous variable to VAR model

Hi everybody, for my thesis I am using a VAR(2) with n=10 variables (stock market indices) with data covering a period of 2521 days. I use variance decomposition in a generalized VAR Framework. Now I want to add 3 exogenous variables (VIX, etc) to the model to see how it changes. I have again 2521 observations for each exogenous variable. So far I used

spec=vgxset('n', 10, 'nar', 2, 'constant', false);
[estspec,estsdterror,llf,w]=vgxvarx(spec,data);

Now to add exogenous variables I understood that I have to change it the following:

spec=vgxset('n', 10, 'nar', 2, 'constant', false, 'nX', 3);
[estspec,estsdterror,llf,w]=vgxvarx(spec,data, Xdata);

However I don't understand how to size the data on the exogenous variables. I have read that it Needs to be in a block-diagonal structure, but seriously have no clue how to do this, since it is the first time I am using statistical Software.

Online I found the following to set up the Matrix for exogenous data, but I am not sure how to "incorporate" the observations on exogenous variables (xdata) to this:

_T = 10;                       % Assume a short time series of 10 observations 
K = 2;                         % Assume a simple 2-D (bi-variate) VAR model 
x  = [(1:T)' (1:T)'.^2];  % Create a linear and quadratic predictors 

X = cell(T,1); 

for t = 1:T 
    for n = 1:K 
         X{t} = blkdiag(x(t,:), X{t}); 
    end 
end_

Thank you in advance for any help!