Table 7 LL, AIC, and SIC output of... | Emerald Publishing

Table 7

LL, AIC, and SIC output of GARCH, GARCH-M, and EGARCH models

Models	GARCH(1,1)			GARCH-M(1,1)			EGARCH(1,1)
Index/Parameter	LL	AIC	SIC	LL	AIC	SIC	LL	AIC	SIC
State Bank of India	−8500.614	4.297935	4.305873	−8500.306	4.298285	4.30781	−8497.874	4.2970564	4.306581
Punjab National Bank	−9239.889	4.671495	4.679433	−9239.864	4.671988	4.681513	−9239.523	4.671816	4.681341
Bank of Baroda	−9223.317	4.663121	4.671059	−9223.308	4.663622	4.673147	−9211.618	4.657715	4.66724
Canara Bank	−9391.826	4.747071	4.755007	−9391.406	4.747364	4.756887	−9395.289	4.749325	4.758848
Central Bank of India	−9401.978	4.7534	4.761338	−9401.571	4.753699	4.763225	−9634.558	4.871429	4.880954
Indian Overseas Bank	−9219.552	4.661219	4.669157	−9219.349	4.661622	4.671147	−9202.664	4.653191	4.662716
Indian Bank	−9679.328	4.893546	4.901484	−9678.555	4.893661	4.903186	−9565.721	4.836645	4.84617
Uco Bank	−9404.042	4.754443	4.762381	−9403.069	4.754456	4.763981	−9665.193	4.886909	4.896434
Union Bank	−9568.977	4.837785	4.845723	−9567.644	4.837617	4.847142	−9382.624	4.744125	4.75365
Bank of Maharashtra	−8926.069	4.51292	4.520858	−8925.722	4.51325	4.522775	−8895.075	4.497764	4.507289
HDFC Bank	11164.72	−5.63907	−5.631132	11164.72	−5.63857	−5.62904	11177.17	−5.644855	−5.63533
ICICI Bank	9810.699	−4.954876	−4.946938	9810.94	−4.95449	4.944967	9874.791	−4.986756	−4.977231
AXIS Bank	9694.431	−4.896125	−4.888187	9694.812	−4.89581	−4.88629	9704.968	−4.900944	−4.891419
City Bank	9791.301	−4.945074	−4.937136	9240.897	−4.66645	−4.65692	9787.989	−4.942895	−4.93337
Federal Bank	−9487.869	−4.791748	−4.78381	9488.974	−4.7918	−4.78228	9509.434	−4.80214	−4.792614
IndusInd Bank	9579.948	−4.838276	−4.830338	9579.985	−4.83779	−4.82826	9605.658	−4.850762	−4.841237
Kotak Mahindra Bank	10351.03	−5.227907	−5.219969	10351.21	−5.22749	−5.21797	10361.86	−5.232876	−5.223351

Models	GARCH(1,1)			GARCH-M(1,1)			EGARCH(1,1)
Index/Parameter	LL	AIC	SIC	LL	AIC	SIC	LL	AIC	SIC
State Bank of India	−8500.614	4.297935	4.305873	−8500.306	4.298285	4.30781	−8497.874	4.2970564	4.306581
Punjab National Bank	−9239.889	4.671495	4.679433	−9239.864	4.671988	4.681513	−9239.523	4.671816	4.681341
Bank of Baroda	−9223.317	4.663121	4.671059	−9223.308	4.663622	4.673147	−9211.618	4.657715	4.66724
Canara Bank	−9391.826	4.747071	4.755007	−9391.406	4.747364	4.756887	−9395.289	4.749325	4.758848
Central Bank of India	−9401.978	4.7534	4.761338	−9401.571	4.753699	4.763225	−9634.558	4.871429	4.880954
Indian Overseas Bank	−9219.552	4.661219	4.669157	−9219.349	4.661622	4.671147	−9202.664	4.653191	4.662716
Indian Bank	−9679.328	4.893546	4.901484	−9678.555	4.893661	4.903186	−9565.721	4.836645	4.84617
Uco Bank	−9404.042	4.754443	4.762381	−9403.069	4.754456	4.763981	−9665.193	4.886909	4.896434
Union Bank	−9568.977	4.837785	4.845723	−9567.644	4.837617	4.847142	−9382.624	4.744125	4.75365
Bank of Maharashtra	−8926.069	4.51292	4.520858	−8925.722	4.51325	4.522775	−8895.075	4.497764	4.507289
HDFC Bank	11164.72	−5.63907	−5.631132	11164.72	−5.63857	−5.62904	11177.17	−5.644855	−5.63533
ICICI Bank	9810.699	−4.954876	−4.946938	9810.94	−4.95449	4.944967	9874.791	−4.986756	−4.977231
AXIS Bank	9694.431	−4.896125	−4.888187	9694.812	−4.89581	−4.88629	9704.968	−4.900944	−4.891419
City Bank	9791.301	−4.945074	−4.937136	9240.897	−4.66645	−4.65692	9787.989	−4.942895	−4.93337
Federal Bank	−9487.869	−4.791748	−4.78381	9488.974	−4.7918	−4.78228	9509.434	−4.80214	−4.792614
IndusInd Bank	9579.948	−4.838276	−4.830338	9579.985	−4.83779	−4.82826	9605.658	−4.850762	−4.841237
Kotak Mahindra Bank	10351.03	−5.227907	−5.219969	10351.21	−5.22749	−5.21797	10361.86	−5.232876	−5.223351

Source(s): Compiled by authors