Table 6 Results of the EGARCH model... | Emerald Publishing

Table 6

Results of the EGARCH model

Index/Parameter	Constant(µ)	Constant(c)	α (ARCH term)	β (GARCH term)	γ (Asymmetric effect)	Persistence(α+β)	ARCH LM
State Bank of India	0.031746	−0.096798*	0.231232*	0.948741*	−0.020588*	1.179973	0.728602
Punjab National Bank	0.029706	0.007325	0.263000*	0.892772*	0.003798	1.155772	0.912666
Bank of Baroda	0.034251	−0.037044*	0.206577*	0.937987*	−0.024871*	1.144564	1.206413
Canara Bank	0.021086	−0.015947	0.195668*	0.933254*	−0.012182	1.128922	0.227906
Central Bank of India	−0.014172	0.346981*	0.460066*	0.652220*	0.017825	1.112286	0.278401*
Indian Overseas Bank	−0.031573	0.058603*	0.433367*	0.797849*	0.008639	1.231216	0.000897
Indian Bank	−0.025475	0.035732**	0.239710*	0.893195*	−0.003854	1.132905	0.667512
Uco Bank	−0.001029	0.036526*	0.900345*	0.233477*	0.022504*	1.133822	0.540235
Union Bank	0.018887	0.052976*	0.335785*	0.845655*	0.037966*	1.18144	0.476847
Bank of Maharashtra	0.00016	0.057349*	0.288690*	0.844895*	0.060865*	1.132905	0.199473
HDFC Bank	0.000518**	−0.181266*	0.113017*	0.988593*	−0.040154*	1.133585	5.191667**
ICICI Bank	0.00017	−0.188865*	0.127754*	0.988116*	−0.079427*	1.10161	0.801983
AXIS Bank	0.0002	−0.2266356*	0.133000*	0.983589*	−0.059374*	1.11587	0.667751
City Bank	0.000465	−0.067629*	0.056221*	0.996419*	−0.018852*	1.116589	25.19646*
Federal Bank	0.000143	−0.198949*	0.087458*	0.982380*	−0.036121*	1.05264	6.154022*
IndusInd Bank	0.001000*	−0.238032*	0.175631*	0.986430*	−0.055362	1.069838	3.486527***
Kotak Mahindra Bank	0.000550**	−0.187948*	0.127562*	0.988702*	−0.029862*	1.162061	5.534224**

Index/Parameter	Constant(µ)	Constant(c)	α (ARCH term)	β (GARCH term)	γ (Asymmetric effect)	Persistence(α+β)	ARCH LM
State Bank of India	0.031746	−0.096798*	0.231232*	0.948741*	−0.020588*	1.179973	0.728602
Punjab National Bank	0.029706	0.007325	0.263000*	0.892772*	0.003798	1.155772	0.912666
Bank of Baroda	0.034251	−0.037044*	0.206577*	0.937987*	−0.024871*	1.144564	1.206413
Canara Bank	0.021086	−0.015947	0.195668*	0.933254*	−0.012182	1.128922	0.227906
Central Bank of India	−0.014172	0.346981*	0.460066*	0.652220*	0.017825	1.112286	0.278401*
Indian Overseas Bank	−0.031573	0.058603*	0.433367*	0.797849*	0.008639	1.231216	0.000897
Indian Bank	−0.025475	0.035732**	0.239710*	0.893195*	−0.003854	1.132905	0.667512
Uco Bank	−0.001029	0.036526*	0.900345*	0.233477*	0.022504*	1.133822	0.540235
Union Bank	0.018887	0.052976*	0.335785*	0.845655*	0.037966*	1.18144	0.476847
Bank of Maharashtra	0.00016	0.057349*	0.288690*	0.844895*	0.060865*	1.132905	0.199473
HDFC Bank	0.000518**	−0.181266*	0.113017*	0.988593*	−0.040154*	1.133585	5.191667**
ICICI Bank	0.00017	−0.188865*	0.127754*	0.988116*	−0.079427*	1.10161	0.801983
AXIS Bank	0.0002	−0.2266356*	0.133000*	0.983589*	−0.059374*	1.11587	0.667751
City Bank	0.000465	−0.067629*	0.056221*	0.996419*	−0.018852*	1.116589	25.19646*
Federal Bank	0.000143	−0.198949*	0.087458*	0.982380*	−0.036121*	1.05264	6.154022*
IndusInd Bank	0.001000*	−0.238032*	0.175631*	0.986430*	−0.055362	1.069838	3.486527***
Kotak Mahindra Bank	0.000550**	−0.187948*	0.127562*	0.988702*	−0.029862*	1.162061	5.534224**

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

Source(s): Compiled by authors