Table 4. GARCH (1, 1) estimates for the...

Table 4.

GARCH (1, 1) estimates for the month-of-the-year effect

Sensex				Nifty
Variables	Coefficient	Std. error	z-statistic	Variables	Coefficient	Std. error	z-statistic
JANUARY	0.000575	0.000404	1.421898	JANUARY	0.000554	0.000418	1.325730
FEBRUARY	0.000510	0.000438	1.164593	FEBRUARY	0.000214	0.000445	0.480779
MARCH	0.000971	0.000527	1.844662*	MARCH	0.001225	0.000517	2.367222**
APRIL	0.000736	0.000501	1.469235	APRIL	0.000663	0.000501	1.322344
MAY	0.001092	0.000441	2.475568**	MAY	0.001051	0.000438	2.399501**
JUNE	0.001073	0.000507	2.118158**	JUNE	0.000948	0.000514	1.845342
JULY	0.000821	0.000435	1.888864*	JULY	0.000818	0.000425	1.923102*
AUGUST	0.000454	0.000435	1.043088	AUGUST	0.000526	0.000442	1.189467
SEPTEMBER	0.000888	0.000385	2.306410**	SEPTEMBER	0.000799	0.000383	2.086787**
OCTOBER	0.000991	0.000482	2.054911**	OCTOBER	0.001052	0.000519	2.025627**
NOVEMBER	0.001289	0.000513	2.515445**	NOVEMBER	0.001292	0.000519	2.489319**
DECEMBER	0.000964	0.000416	2.317567**	DECEMBER	0.001029	0.000417	2.466620**
Return(−1)	0.072445	0.013768	5.261952***	Return(−1)	0.070617	0.013655	5.171484***
Variance equation				Variance equation
ω	2.42E-06	2.97E-07	8.135466***	ω	2.63E-06	2.93E-07	8.975182***
α	0.105572	0.005104	20.68356***	α	0.109913	0.005107	21.52169***
β	0.888120	0.004946	179.5461***	β	0.884138	0.004878	181.2368***
Log likelihood	18325.00	Akaike info criterion	−5.904224	Log likelihood	18329.90	Akaike info criterion	−5.890608
Durbin–Watson stat	2.0362	Schwarz criterion	−5.886855	Durbin–Watson stat	2.044249	Schwarz info criterion	−5.873277
Diagnostic tests
Ljung Box Q (1)	0.0870 (0.786)	ARCH LM Test (1)	0.8689 (0.7682)	Ljung Box Q (1)	0.1627 (0.6870)	ARCH LM Test (1)	0.1625 (0.6868)
Ljung Box Q (5)	4.2485 (0.541)	ARCH LM Test (5)	0.8542 (0.5112)	Ljung Box Q (5)	3.7780 (0.582)	ARCH LM Test (5)	0.7627 (0.5766)

Sensex				Nifty
Variables	Coefficient	Std. error	z-statistic	Variables	Coefficient	Std. error	z-statistic
JANUARY	0.000575	0.000404	1.421898	JANUARY	0.000554	0.000418	1.325730
FEBRUARY	0.000510	0.000438	1.164593	FEBRUARY	0.000214	0.000445	0.480779
MARCH	0.000971	0.000527	1.844662*	MARCH	0.001225	0.000517	2.367222**
APRIL	0.000736	0.000501	1.469235	APRIL	0.000663	0.000501	1.322344
MAY	0.001092	0.000441	2.475568**	MAY	0.001051	0.000438	2.399501**
JUNE	0.001073	0.000507	2.118158**	JUNE	0.000948	0.000514	1.845342
JULY	0.000821	0.000435	1.888864*	JULY	0.000818	0.000425	1.923102*
AUGUST	0.000454	0.000435	1.043088	AUGUST	0.000526	0.000442	1.189467
SEPTEMBER	0.000888	0.000385	2.306410**	SEPTEMBER	0.000799	0.000383	2.086787**
OCTOBER	0.000991	0.000482	2.054911**	OCTOBER	0.001052	0.000519	2.025627**
NOVEMBER	0.001289	0.000513	2.515445**	NOVEMBER	0.001292	0.000519	2.489319**
DECEMBER	0.000964	0.000416	2.317567**	DECEMBER	0.001029	0.000417	2.466620**
Return(−1)	0.072445	0.013768	5.261952***	Return(−1)	0.070617	0.013655	5.171484***
Variance equation				Variance equation
ω	2.42E-06	2.97E-07	8.135466***	ω	2.63E-06	2.93E-07	8.975182***
α	0.105572	0.005104	20.68356***	α	0.109913	0.005107	21.52169***
β	0.888120	0.004946	179.5461***	β	0.884138	0.004878	181.2368***
Log likelihood	18325.00	Akaike info criterion	−5.904224	Log likelihood	18329.90	Akaike info criterion	−5.890608
Durbin–Watson stat	2.0362	Schwarz criterion	−5.886855	Durbin–Watson stat	2.044249	Schwarz info criterion	−5.873277
Diagnostic tests
Ljung Box Q (1)	0.0870(0.786)	ARCH LM Test (1)	0.8689(0.7682)	Ljung Box Q (1)	0.1627(0.6870)	ARCH LM Test (1)	0.1625(0.6868)
Ljung Box Q (5)	4.2485(0.541)	ARCH LM Test (5)	0.8542(0.5112)	Ljung Box Q (5)	3.7780(0.582)	ARCH LM Test (5)	0.7627(0.5766)

Notes:

Ljung Box Q statistics represents the squared residuals up to lag 5. *, ** and *** indicate statistically significant at 10%, 5% and 1%, respectively

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