Table 4. Return equation using GARCH and...

Table 4.

Return equation using GARCH and PARCH model for NSE return Table 4

	GARCH (NSE)				PARCH (NSE)
	Pre-L2	Pre-L1	Post-L1	Post-L2	Pre-L2	Pre-L1	Post-L1	Post-L2
Panel A: Mean equation
Constant, Β₀	−0.080*	−0.081*	0.077*	0.081*	0.060*	0.065*	0.064*	0.066*
Buddha Purnima	0.093	0.188	−0.306	−0.053	0.116	0.173	−0.294	−0.101
Christmas	−0.032	0.281	0.120	0.343*	0.330*	0.424**	0.156	0.379*
Diwali	0.141**	0.107	0.041	−0.039	0.145**	0.118	0.049	−0.043
Dussehra	−0.213	−0.190	−0.016	−0.162	−0.211	−0.214	−0.013	−0.188
Eid al -Fitr	0.189**	−0.095	0.311	0.044	0.027	−0.091	0.277	0.010
Ganesh Chaturthi	0.180**	0.265	0.456**	0.366*	0.203**	0.285	0.458**	0.379*
Good Friday	−0.179	−0.279	0.014	−0.044	−0.159	−0.266	0.000	−0.061
Gurunanak Jayanti	0.014	0.095	−0.012	0.176	−0.019	0.093	−0.026	0.126
Holi	0.002	0.055	−0.005	−0.050	0.027	0.074	−0.055	−0.090
Mahashivratri	0.223	0.211	0.129	−0.082	0.212	0.218	0.133	−0.117
Mahavir Jayanti	−0.086	−0.036	−0.051	−0.080	0.083	−0.024	−0.054	−0.066
Muharram	0.121***	−0.111	−0.330***	−0.041	0.048	−0.093	−0.339***	−0.047
Panel B: Variance equation
C	0.044*	0.044*	0.021*	0.045*	0.033*	0.034*	0.022	0.036*
Resid(−1)^₂	0.109*	0.110*	0.097*	0.110*	0.120*	0.120*	0.108*	0.121
Garch(−1)	0.841*	0.8783*	0.895*	0.851*	0.268*	0.265*	0.183*	0.251*
γ					0.888*	0.887*	0.899*	0.885*
δ					1.127*	1.171*	1.601*	1.237**
Diagnostic test for specified model
Ged parameter	1.186	1.186	1.458	1.187	1.23965	1.288	1.460	1.189
Log likelihood	10,331.4	10,331.9	10,163.5	10,326.9	18,380.88	10,297.3	10,144.8	10,292.8
ARCH-LM (10)	0.991	0.969	0.873	0.969	0.997	1.00	0.921	0.972
Q² (10)	0.970	0.996	0.901	0.970	0.995	0.998	0.922	0.991
Wald test	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

	GARCH (NSE)				PARCH (NSE)
	Pre-L2	Pre-L1	Post-L1	Post-L2	Pre-L2	Pre-L1	Post-L1	Post-L2
Panel A: Mean equation
Constant, Β₀	−0.080*	−0.081*	0.077*	0.081*	0.060*	0.065*	0.064*	0.066*
Buddha Purnima	0.093	0.188	−0.306	−0.053	0.116	0.173	−0.294	−0.101
Christmas	−0.032	0.281	0.120	0.343*	0.330*	0.424**	0.156	0.379*
Diwali	0.141**	0.107	0.041	−0.039	0.145**	0.118	0.049	−0.043
Dussehra	−0.213	−0.190	−0.016	−0.162	−0.211	−0.214	−0.013	−0.188
Eid al -Fitr	0.189**	−0.095	0.311	0.044	0.027	−0.091	0.277	0.010
Ganesh Chaturthi	0.180**	0.265	0.456**	0.366*	0.203**	0.285	0.458**	0.379*
Good Friday	−0.179	−0.279	0.014	−0.044	−0.159	−0.266	0.000	−0.061
Gurunanak Jayanti	0.014	0.095	−0.012	0.176	−0.019	0.093	−0.026	0.126
Holi	0.002	0.055	−0.005	−0.050	0.027	0.074	−0.055	−0.090
Mahashivratri	0.223	0.211	0.129	−0.082	0.212	0.218	0.133	−0.117
Mahavir Jayanti	−0.086	−0.036	−0.051	−0.080	0.083	−0.024	−0.054	−0.066
Muharram	0.121***	−0.111	−0.330***	−0.041	0.048	−0.093	−0.339***	−0.047
Panel B: Variance equation
C	0.044*	0.044*	0.021*	0.045*	0.033*	0.034*	0.022	0.036*
Resid(−1)^₂	0.109*	0.110*	0.097*	0.110*	0.120*	0.120*	0.108*	0.121
Garch(−1)	0.841*	0.8783*	0.895*	0.851*	0.268*	0.265*	0.183*	0.251*
γ					0.888*	0.887*	0.899*	0.885*
δ					1.127*	1.171*	1.601*	1.237**
Diagnostic test for specified model
Ged parameter	1.186	1.186	1.458	1.187	1.23965	1.288	1.460	1.189
Log likelihood	10,331.4	10,331.9	10,163.5	10,326.9	18,380.88	10,297.3	10,144.8	10,292.8
ARCH-LM (10)	0.991	0.969	0.873	0.969	0.997	1.00	0.921	0.972
Q² (10)	0.970	0.996	0.901	0.970	0.995	0.998	0.922	0.991
Wald test	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

Notes: Return equation using GARCH and PARCH model for NSE return;

This table represents the estimate for regression specification using the GARCH and PARCH Model. The parameter γ captures asymmetry in the model (γ < 0, γ ≠ 0 ∼ asymmetric). The power term δ capture both standard deviation (δ = 1) and conditional variance (δ = 2). EViews legacy technique was adopted to maximize the log-likelihood function of the GED. The ARCH LM test the null hypothesis of no autocorrelation up to 10 lags. The Ljung-Box Q-square statistics up to order 10 failed to rejected the null hypothesis of no autocorrelation. The null hypothesis of Wald test is H₀: β₁ = β₂ …. = β₁₂ = 0;

Panel A *, ** and *** represent statistical significance at 1, 5 and 10% levels, respectively

Source: Table created by authors

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