Table 5. EGARCH (1, 1) estimates for the...

Table 5.

EGARCH (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	0.000413	0.000362	1.140761	JANUARY	0.000419	0.000374	1.122418
FEBRUARY	0.000482	0.000410	1.176101	FEBRUARY	9.00E-05	0.000451	0.199487
MARCH	0.000648	0.000432	1.501440	MARCH	0.000841	0.000420	2.001470**
APRIL	0.000763	0.000438	1.741558*	APRIL	0.000374	0.000441	0.848831
MAY	0.000435	0.000393	1.106278	MAY	0.000372	0.000377	0.985320
JUNE	0.000437	0.000455	0.960568	JUNE	0.000269	0.000452	0.594926
JULY	0.000353	0.000435	0.812756	JULY	0.000395	0.000425	0.930145
AUGUST	0.000101	0.000403	0.250501	AUGUST	0.000134	0.000394	0.339447
SEPTEMBER	0.001013	0.000356	2.843531***	SEPTEMBER	0.001310	0.000343	3.818945***
OCTOBER	0.000193	0.000411	0.469915	OCTOBER	0.000137	0.000431	0.318664
NOVEMBER	0.000495	0.000471	1.049767	NOVEMBER	0.000560	0.000471	1.189118
DECEMBER	0.000491	0.000407	1.207097	DECEMBER	0.000667	0.000374	1.783278*
Return(−1)	0.083486	0.013011	6.416321***	Return(−1)	0.083629	0.012881	6.492271***
Variance equation				Variance equation
ω	−0.354190	0.021404	−16.54793***	ω	−0.356018	0.019710	−18.06323***
α	0.211970	0.008937	23.71850***	α	0.211165	0.008246	25.60926***
γ	−0.077388	0.005327	−14.52741***	γ	−0.084537	0.005536	−15.27166***
β	0.978001	0.002030	481.8220***	β	0.977582	0.001939	504.1380***
Log likelihood	18376.96	Akaike info criterion	−5.920659	Log likelihood	18388.42	Akaike info criterion	−5.909108
Durbin–Watson stat	2.058669	Schwarz info criterion	−5.902205	Durbin–Watson stat	2.070174	Schwarz info criterion	−5.890694
Diagnostic tests
Ljung Box Q (1)	0.0369 (0.848)	ARCH LM Test (1)	0.0368 (0.8478)	Ljung Box Q (1)	0.0048 (0.9450)	ARCH LM Test (1)	0.0047 (0.9450)
Ljung Box Q (5)	3.3249 (0.650)	ARCH LM Test (5)	0.6599 (0.6539)	Ljung Box Q (5)	2.8156 (0.7280)	ARCH LM Test (5)	0.5623 (0.7290)

Sensex				Nifty
Variables	Coefficient	Std. error	z-statistic	Variables	Coefficient	Std. error	z-statistic
JANUARY	0.000413	0.000362	1.140761	JANUARY	0.000419	0.000374	1.122418
FEBRUARY	0.000482	0.000410	1.176101	FEBRUARY	9.00E-05	0.000451	0.199487
MARCH	0.000648	0.000432	1.501440	MARCH	0.000841	0.000420	2.001470**
APRIL	0.000763	0.000438	1.741558*	APRIL	0.000374	0.000441	0.848831
MAY	0.000435	0.000393	1.106278	MAY	0.000372	0.000377	0.985320
JUNE	0.000437	0.000455	0.960568	JUNE	0.000269	0.000452	0.594926
JULY	0.000353	0.000435	0.812756	JULY	0.000395	0.000425	0.930145
AUGUST	0.000101	0.000403	0.250501	AUGUST	0.000134	0.000394	0.339447
SEPTEMBER	0.001013	0.000356	2.843531***	SEPTEMBER	0.001310	0.000343	3.818945***
OCTOBER	0.000193	0.000411	0.469915	OCTOBER	0.000137	0.000431	0.318664
NOVEMBER	0.000495	0.000471	1.049767	NOVEMBER	0.000560	0.000471	1.189118
DECEMBER	0.000491	0.000407	1.207097	DECEMBER	0.000667	0.000374	1.783278*
Return(−1)	0.083486	0.013011	6.416321***	Return(−1)	0.083629	0.012881	6.492271***
Variance equation				Variance equation
ω	−0.354190	0.021404	−16.54793***	ω	−0.356018	0.019710	−18.06323***
α	0.211970	0.008937	23.71850***	α	0.211165	0.008246	25.60926***
γ	−0.077388	0.005327	−14.52741***	γ	−0.084537	0.005536	−15.27166***
β	0.978001	0.002030	481.8220***	β	0.977582	0.001939	504.1380***
Log likelihood	18376.96	Akaike info criterion	−5.920659	Log likelihood	18388.42	Akaike info criterion	−5.909108
Durbin–Watson stat	2.058669	Schwarz info criterion	−5.902205	Durbin–Watson stat	2.070174	Schwarz info criterion	−5.890694
Diagnostic tests
Ljung Box Q (1)	0.0369(0.848)	ARCH LM Test (1)	0.0368(0.8478)	Ljung Box Q (1)	0.0048(0.9450)	ARCH LM Test (1)	0.0047(0.9450)
Ljung Box Q (5)	3.3249(0.650)	ARCH LM Test (5)	0.6599(0.6539)	Ljung Box Q (5)	2.8156(0.7280)	ARCH LM Test (5)	0.5623(0.7290)

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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