Here's an example of a GARCH(1,1) model using PROC MODEL which includes a simple linear dependence of the volatility on interest rate. The data set 'drate' would contain an endogenous variable 'y' of stock market returns, and 'x' of interest rates.
proc model data=dratee;
/* Mean model */
y = sret;
/* Variance model ----------------*/
h.y = b*x
+ arch0 + arch1*xlag(resid.y**2, mse.y) + garch1*xlag(h.y, mse.y);
bounds b arch0 arch1 garch1 >= 0;
fit y / fiml;
quit;