Time series analysis of airline stocks

[arocker]

Hello,
I am new to the forum. I am trying to model airline stocks daily returns over time using a garch(1,1) but I am not sure which distribution to use when testing my hypothesis. Any ideas? Thanks!

 

[Ken Abbott]

Which distribution for what? Returns? The GARCH will look at the variance. Why not start with ACF/PACF?. Look for seasonality or some kind of AR/MA pattern. Check your priors on the stock returns using an AIC or a KS.

 

[arocker]

Hi. Sorry, I should have made myself clearer. So, I'm trying to measure the effect of an event on the log returns of the airline stocks. The effect will be measured by the coefficient on a dummy variable (=1 for event days and 0 otherwise). The variance will follow a garch(1,1). So my question was about what distribtuion to use to test the significance of the coefficient on the dummy variable.