Event Study

[B.ODriscoll29]

Hi

I am currently carrying out research as part of my thesis and I am having some difficulty developing my model.

I am carrying out an event study which will use an ARCH/GARCH corrected market model for stock returns for different sector indices in 18 countries. As a start point I know I need to carry out an ols regression to obtain my residuals which I then test for ARCH GARCH etc.

In the different user manuals/videos I have looked at I have found some different methods which have caused me some confusion. I have carried out my regression by selecting my sector index as the dependent variable and the market return as the explanatory variable and computed the regression. Should I have included the constant?

Any help would be greatly appreciated.

Thank you.