Table 7. PGARCH (1,1) estimates for the...

Table 7.

PGARCH (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	0.000415	0.000360	1.151469	JANUARY	0.000441	0.000370	1.194370
FEBRUARY	0.000566	0.000403	1.405403	FEBRUARY	0.000144	0.000441	0.327395
MARCH	0.000644	0.000436	1.475496	MARCH	0.000855	0.000424	2.015424**
APRIL	0.000739	0.000446	1.658619*	APRIL	0.000317	0.000448	0.707521
MAY	0.000378	0.000390	0.968337	MAY	0.000301	0.000373	0.806159
JUNE	0.000407	0.000456	0.892658	JUNE	0.000253	0.000446	0.566855
JULY	0.000309	0.000440	0.702205	JULY	0.000338	0.000422	0.800828
AUGUST	2.58E-05	0.000405	0.063731	AUGUST	6.27E-05	0.000395	0.158814
SEPTEMBER	0.001173	0.000354	3.314565***	SEPTEMBER	0.001480	0.000321	4.608167***
OCTOBER	0.000170	0.000397	0.427480	OCTOBER	8.35E-05	0.000411	0.203000
NOVEMBER	0.000464	0.000473	0.982234	NOVEMBER	0.000510	0.000467	1.091593
DECEMBER	0.000501	0.000406	1.232209	DECEMBER	0.000869	0.000346	2.510884**
Return (−1)	0.083605	0.012734	6.565589***	Return (−1)	0.090474	0.012505	7.234884***
Variance equation				Variance equation
ω	0.000283	2.67E-05	10.59194***	ω	0.000287	2.54E-05	11.29126***
α	0.114525	0.004936	23.20443***	α	0.115463	0.004409	26.18664***
γ	0.391117	0.028511	13.71801***	γ	0.430370	0.029535	14.57173***
β	0.892000	0.004890	182.4040***	β	0.891905	0.004185	213.1007***
Log likelihood	18370.90	Akaike info criterion	−5.918379	Log likelihood	18380.53	Akaike info criterion	−5.906570
Durbin–Watson stat	2.058676	Schwarz info criterion	−5.898839	Durbin–Watson stat	2.083268	Schwarz info criterion	−5.888156
Diagnostic tests
Ljung Box Q (1)	0.4147 (0.520)	ARCH LM Test (1)	0.4142 (0.5198)	Ljung Box Q (1)	0.3084 (0.5790)	ARCH LM Test (1)	0.3080 (0.5789)
Ljung Box Q (5)	5.2240 (0.3890)	ARCH LM Test (5)	1.0223 (0.4025)	Ljung Box Q (5)	4.7911 (0.4420)	ARCH LM Test (5)	0.9502 (0.4471)

Sensex				Nifty
Variables	Coefficient	Std. error	z-statistic	Variables	Coefficient	Std. error	z-statistic
JANUARY	0.000415	0.000360	1.151469	JANUARY	0.000441	0.000370	1.194370
FEBRUARY	0.000566	0.000403	1.405403	FEBRUARY	0.000144	0.000441	0.327395
MARCH	0.000644	0.000436	1.475496	MARCH	0.000855	0.000424	2.015424**
APRIL	0.000739	0.000446	1.658619*	APRIL	0.000317	0.000448	0.707521
MAY	0.000378	0.000390	0.968337	MAY	0.000301	0.000373	0.806159
JUNE	0.000407	0.000456	0.892658	JUNE	0.000253	0.000446	0.566855
JULY	0.000309	0.000440	0.702205	JULY	0.000338	0.000422	0.800828
AUGUST	2.58E-05	0.000405	0.063731	AUGUST	6.27E-05	0.000395	0.158814
SEPTEMBER	0.001173	0.000354	3.314565***	SEPTEMBER	0.001480	0.000321	4.608167***
OCTOBER	0.000170	0.000397	0.427480	OCTOBER	8.35E-05	0.000411	0.203000
NOVEMBER	0.000464	0.000473	0.982234	NOVEMBER	0.000510	0.000467	1.091593
DECEMBER	0.000501	0.000406	1.232209	DECEMBER	0.000869	0.000346	2.510884**
Return (−1)	0.083605	0.012734	6.565589***	Return (−1)	0.090474	0.012505	7.234884***
Variance equation				Variance equation
ω	0.000283	2.67E-05	10.59194***	ω	0.000287	2.54E-05	11.29126***
α	0.114525	0.004936	23.20443***	α	0.115463	0.004409	26.18664***
γ	0.391117	0.028511	13.71801***	γ	0.430370	0.029535	14.57173***
β	0.892000	0.004890	182.4040***	β	0.891905	0.004185	213.1007***
Log likelihood	18370.90	Akaike info criterion	−5.918379	Log likelihood	18380.53	Akaike info criterion	−5.906570
Durbin–Watson stat	2.058676	Schwarz info criterion	−5.898839	Durbin–Watson stat	2.083268	Schwarz info criterion	−5.888156
Diagnostic tests
Ljung Box Q (1)	0.4147(0.520)	ARCH LM Test (1)	0.4142(0.5198)	Ljung Box Q (1)	0.3084(0.5790)	ARCH LM Test (1)	0.3080(0.5789)
Ljung Box Q (5)	5.2240(0.3890)	ARCH LM Test (5)	1.0223(0.4025)	Ljung Box Q (5)	4.7911(0.4420)	ARCH LM Test (5)	0.9502(0.4471)

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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