Table 4 Results of the GARCH model Index... | Emerald Publishing

Table 4

Results of the GARCH model

Index	Constant(µ)	Constant(c)	α (ARCH term)	β (GARCH term)	Persistence(α+β)	ARCH LM
State Bank of India	0.037765	0.24841*	0.124009*	0.831803*	0.955812	0.230706
Punjab National Bank	0.001426	0.790019*	0.150285*	0.745751*	0896036	0.550565
Bank of Baroda	0.050303	0.450817*	0.109782*	0.830215*	0.939997	0.33684
Canara Bank	0.016889	0.465056	0.099755*	0.841389*	0.941144	0.071292
Central Bank of India	−0.018239	2.663608*	0.295943*	0.390247*	0.68619	0.196198
Indian Overseas Bank	−0.042783	0.929398*	0.200225*	0.684568*	0.884793	0.167321
Indian Bank	0.001092	0.653313	0.086178	0.838235	0.924413	1.072881
Uco Bank	0.001152	1.394437*	0.229418*	0.608535*	0.837953	0.057792
Union Bank	−0.012428	0.853569*	0.118155*	0.777731*	0.895886	0.331827
Bank of Maharashtra	−0.011489	0.934901*	0.143435*	0.704504*	0.847939	0.446422
HDFC Bank	0.0802*	3.46E−06*	0.060215*	0.925409*	0.985624	0.83695
ICICI Bank	0.000912*	7.57E−06*	0.083117 *	0.903714*	0.986831	3.34E−05
AXIS Bank	0.000843*	9.50E−06*	0.076530*	0.905431*	0.981961	0.017096
City Bank	0.000709	2.64E.06*	0.023495*	0.970853*	0.994348	14.60880*
Federal Bank	0.000578*	2.19E−05*	0.062691*	0.895961*	0.958652	1.8279
IndusInd Bank	0.001323*	6.92E.06*	0.094548*	0.897000*	0.991548	1.269185
Kotak Mahindra Bank	0.000734*	5.08E−06*	0.066924*	0.919028*	0.985952	1.718523

Index	Constant(µ)	Constant(c)	α (ARCH term)	β (GARCH term)	Persistence(α+β)	ARCH LM
State Bank of India	0.037765	0.24841*	0.124009*	0.831803*	0.955812	0.230706
Punjab National Bank	0.001426	0.790019*	0.150285*	0.745751*	0896036	0.550565
Bank of Baroda	0.050303	0.450817*	0.109782*	0.830215*	0.939997	0.33684
Canara Bank	0.016889	0.465056	0.099755*	0.841389*	0.941144	0.071292
Central Bank of India	−0.018239	2.663608*	0.295943*	0.390247*	0.68619	0.196198
Indian Overseas Bank	−0.042783	0.929398*	0.200225*	0.684568*	0.884793	0.167321
Indian Bank	0.001092	0.653313	0.086178	0.838235	0.924413	1.072881
Uco Bank	0.001152	1.394437*	0.229418*	0.608535*	0.837953	0.057792
Union Bank	−0.012428	0.853569*	0.118155*	0.777731*	0.895886	0.331827
Bank of Maharashtra	−0.011489	0.934901*	0.143435*	0.704504*	0.847939	0.446422
HDFC Bank	0.0802*	3.46E−06*	0.060215*	0.925409*	0.985624	0.83695
ICICI Bank	0.000912*	7.57E−06*	0.083117 *	0.903714*	0.986831	3.34E−05
AXIS Bank	0.000843*	9.50E−06*	0.076530*	0.905431*	0.981961	0.017096
City Bank	0.000709	2.64E.06*	0.023495*	0.970853*	0.994348	14.60880*
Federal Bank	0.000578*	2.19E−05*	0.062691*	0.895961*	0.958652	1.8279
IndusInd Bank	0.001323*	6.92E.06*	0.094548*	0.897000*	0.991548	1.269185
Kotak Mahindra Bank	0.000734*	5.08E−06*	0.066924*	0.919028*	0.985952	1.718523

Note(s): *, ** and *** represents p-value <1%, 5% and 10% respectively

Source(s): Compiled by authors