I'm looking to carry out an intervention time series analysis on the S&P500 to see how presidential elections affected the stock market.
I want to use an ARMA-GARCH process to model S&P500 return, and analyse different subsets of data between 1925 and present.
Below is a plot which shows the S&P500 returns against time, as well as the different subsets, each subset is a period of continuous republican/democratic administration.
I have searched online but cannot find any examples in academic papers or otherwise of people carrying out intervention time series analysis using ARIMA-GARCH rather than just ARIMA.
I'm using the "rugarch" package in R, and have fit models to the subsets, but I'm not sure how to quantify the intervention effect. For each subset, I was hoping to carry out a basic intervention analysis such as this one, and perhaps model the intervention effect:
Does anybody have any advice on doing this using an ARIMA-GARCH process; or should I stick to ARIMA despite it not being able to model financial data as well as ARIMA-GARCH?