Table 5 Results of the GARCH-M model... | Emerald Publishing

Table 5

Results of the GARCH-M model

Index	Constant(µ)	Risk premium(λ)	Constant(c)	α (ARCH term)	β (GARCH term)	Persistence(α+β)	ARCH-LM
State Bank of India	−0.001719	0.010171	0.250934*	0.125177*	0.830102*	0.955279	0.217747
Punjab National Bank	−0.014557	0.002723	0.793341*	0.150460*	0.745075*	0.895535	0.53635
Bank of Baroda	0.060219	−0.001727	0.449975*	0.109657*	0.830456*	0.940113	0.33923
Canara Bank	−0.06048	0.012171	0.470986*	0.101236*	0.839265*	0.940501	0.081789
Central Bank of India	0.041364	−0.009439	2.653845*	0.295932*	0.391694*	0.687626	0.207207
Indian Overseas Bank	−0.07867	0.00641	0.929039*	0.200356*	0.684475*	0.884831	0.140094
Indian Bank	−0.131036	0.017979	0.638114*	0.085080*	0.841077*	0.926157	1.160795
Uco Bank	0.091908	−0.014413	1.342456*	0.225108*	0.619167*	0.844275	0.011404
Union Bank	−0.176515	0.023506	0.896702*	0.121714*	0.768826*	0.89054	0.203715
Bank of Maharashtra	0.048716	−0.011917	1.003443*	0.149214*	0.687455*	0.836669	0.323274
HDFC Bank	0.00082	−0.10542	3.46E−06	0.060224	0.925398	0.985622	0.83979
ICICI Bank	0.000686	0.678298	7.57E−06*	0.083183*	0.903645*	0.986828	0.001076
AXIS Bank	0.000512	0.908044	9.53E−06	0.076616*	0.905255*	0.981871	0.02139
City Bank	0.00082	−0.00313	0.0268*	0.023765*	0.97056*	0.994291	4.882645
Federal Bank	−0.00054	2.463986	2.26E−05*	0.064361*	0.892898*	0.957259	1.622033
IndusInd Bank	0.001252*	0.20311	6.94E−06*	0.094624*	0.896886*	0.99151	1.262858
Kotak Mahindra Bank	0.000565	0.658386	5.07E−06*	0.066877*	0.919121*	0.985998	1.693066

Index	Constant(µ)	Risk premium(λ)	Constant(c)	α (ARCH term)	β (GARCH term)	Persistence(α+β)	ARCH-LM
State Bank of India	−0.001719	0.010171	0.250934*	0.125177*	0.830102*	0.955279	0.217747
Punjab National Bank	−0.014557	0.002723	0.793341*	0.150460*	0.745075*	0.895535	0.53635
Bank of Baroda	0.060219	−0.001727	0.449975*	0.109657*	0.830456*	0.940113	0.33923
Canara Bank	−0.06048	0.012171	0.470986*	0.101236*	0.839265*	0.940501	0.081789
Central Bank of India	0.041364	−0.009439	2.653845*	0.295932*	0.391694*	0.687626	0.207207
Indian Overseas Bank	−0.07867	0.00641	0.929039*	0.200356*	0.684475*	0.884831	0.140094
Indian Bank	−0.131036	0.017979	0.638114*	0.085080*	0.841077*	0.926157	1.160795
Uco Bank	0.091908	−0.014413	1.342456*	0.225108*	0.619167*	0.844275	0.011404
Union Bank	−0.176515	0.023506	0.896702*	0.121714*	0.768826*	0.89054	0.203715
Bank of Maharashtra	0.048716	−0.011917	1.003443*	0.149214*	0.687455*	0.836669	0.323274
HDFC Bank	0.00082	−0.10542	3.46E−06	0.060224	0.925398	0.985622	0.83979
ICICI Bank	0.000686	0.678298	7.57E−06*	0.083183*	0.903645*	0.986828	0.001076
AXIS Bank	0.000512	0.908044	9.53E−06	0.076616*	0.905255*	0.981871	0.02139
City Bank	0.00082	−0.00313	0.0268*	0.023765*	0.97056*	0.994291	4.882645
Federal Bank	−0.00054	2.463986	2.26E−05*	0.064361*	0.892898*	0.957259	1.622033
IndusInd Bank	0.001252*	0.20311	6.94E−06*	0.094624*	0.896886*	0.99151	1.262858
Kotak Mahindra Bank	0.000565	0.658386	5.07E−06*	0.066877*	0.919121*	0.985998	1.693066

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

Source(s): Compiled by authors