Table 6. TGARCH (1,1) estimates for the...

Table 6.

TGARCH (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	0.000381	0.000382	0.996326	JANUARY	0.000386	0.000396	0.974574
FEBRUARY	0.000454	0.000412	1.101894	FEBRUARY	0.000215	0.000443	0.486343
MARCH	0.000607	0.000498	1.218696	MARCH	0.000819	0.000496	1.650731*
APRIL	0.000476	0.000494	0.964352	APRIL	0.000317	0.000493	0.642286
MAY	0.000726	0.000419	1.733046*	MAY	0.000716	0.000408	1.756068*
JUNE	0.000633	0.000466	1.357539	JUNE	0.000440	0.000478	0.920844
JULY	0.000415	0.000450	0.922295	JULY	0.000399	0.000427	0.934132
AUGUST	0.000228	0.000414	0.551941	AUGUST	0.000234	0.000423	0.552641
SEPTEMBER	0.000889	0.000376	2.365340**	SEPTEMBER	0.000856	0.000388	2.207538**
OCTOBER	0.000384	0.000431	0.891573	OCTOBER	0.000445	0.000440	1.012002
NOVEMBER	0.000824	0.000491	1.677373	NOVEMBER	0.000810	0.000496	1.634675
DECEMBER	0.000750	0.000422	1.777988*	DECEMBER	0.000804	0.000415	1.937202*
Return (−1)	0.081960	0.013764	5.954527***	Return (−1)	0.080397	0.013577	5.921720***
Variance equation				Variance equation
ω	2.92E-06	3.01E-07	9.712202***	ω	3.07E-06	3.00E-07	10.24100***
α	0.055136	0.004887	11.28225***	α	0.055587	0.005365	10.36127***
γ	0.104137	0.008592	12.12095***	γ	0.110933	0.008708	12.73971***
β	0.883374	0.005371	164.4600***	β	0.880520	0.005242	167.9835***
Log likelihood	18369.34	Akaike info criterion	−5.918202	Log likelihood	18375.38	Akaike info criterion	−5.904914
Durbin–Watson stat	2.056186	Schwarz info criterion	−5.899747	Durbin–Watson stat	2.06463	Schwarz info criterion	−5.886500
Diagnostic tests
Ljung Box Q (1)	0.4474 (0.5040)	ARCH LM Test (1)	0.4469 (0.5038)	Ljung Box Q (1)	0.5927 (0.4410)	ARCH LM Test (1)	0.5921 (0.4416)
Ljung Box Q (5)	1.3889 (0.9260)	ARCH LM Test (5)	0.2728 (0.9281)	Ljung Box Q (5)	1.8662 (0.867)	ARCH LM Test (5)	0.3645 (0.8730)

Sensex				Nifty
Variables	Coefficient	Std. error	z-statistic	Variables	Coefficient	Std. error	z-statistic
JANUARY	0.000381	0.000382	0.996326	JANUARY	0.000386	0.000396	0.974574
FEBRUARY	0.000454	0.000412	1.101894	FEBRUARY	0.000215	0.000443	0.486343
MARCH	0.000607	0.000498	1.218696	MARCH	0.000819	0.000496	1.650731*
APRIL	0.000476	0.000494	0.964352	APRIL	0.000317	0.000493	0.642286
MAY	0.000726	0.000419	1.733046*	MAY	0.000716	0.000408	1.756068*
JUNE	0.000633	0.000466	1.357539	JUNE	0.000440	0.000478	0.920844
JULY	0.000415	0.000450	0.922295	JULY	0.000399	0.000427	0.934132
AUGUST	0.000228	0.000414	0.551941	AUGUST	0.000234	0.000423	0.552641
SEPTEMBER	0.000889	0.000376	2.365340**	SEPTEMBER	0.000856	0.000388	2.207538**
OCTOBER	0.000384	0.000431	0.891573	OCTOBER	0.000445	0.000440	1.012002
NOVEMBER	0.000824	0.000491	1.677373	NOVEMBER	0.000810	0.000496	1.634675
DECEMBER	0.000750	0.000422	1.777988*	DECEMBER	0.000804	0.000415	1.937202*
Return (−1)	0.081960	0.013764	5.954527***	Return (−1)	0.080397	0.013577	5.921720***
Variance equation				Variance equation
ω	2.92E-06	3.01E-07	9.712202***	ω	3.07E-06	3.00E-07	10.24100***
α	0.055136	0.004887	11.28225***	α	0.055587	0.005365	10.36127***
γ	0.104137	0.008592	12.12095***	γ	0.110933	0.008708	12.73971***
β	0.883374	0.005371	164.4600***	β	0.880520	0.005242	167.9835***
Log likelihood	18369.34	Akaike info criterion	−5.918202	Log likelihood	18375.38	Akaike info criterion	−5.904914
Durbin–Watson stat	2.056186	Schwarz info criterion	−5.899747	Durbin–Watson stat	2.06463	Schwarz info criterion	−5.886500
Diagnostic tests
Ljung Box Q (1)	0.4474(0.5040)	ARCH LM Test (1)	0.4469(0.5038)	Ljung Box Q (1)	0.5927(0.4410)	ARCH LM Test (1)	0.5921(0.4416)
Ljung Box Q (5)	1.3889(0.9260)	ARCH LM Test (5)	0.2728(0.9281)	Ljung Box Q (5)	1.8662(0.867)	ARCH LM Test (5)	0.3645(0.8730)

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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