Table 2: Impact of expiry day and its volume on spot return and volatility.

Garch(1,1)TGarch(1,1)EGarch(1,1)PGarch(1,1)

Nifty(−1)0.0404***0.0527***0.0318**0.0426***
S&P 500(−1)0.2103***0.2111***0.2163***0.2186***
Expday0.0032***0.0030***0.0033***0.0038***
Expday * Lnvol0.0002***0.0002***0.0002***0.0002***
Alpha0.1499***0.0600***0.1398***0.1264***
Gamma0.1859***−0.0429***0.5389***
Beta0.8125***0.7918***0.9375***0.8317***
Expday * 0.3971***0.0023**
Expday * Lnvol * 0.0226***0.0001**
LogL6947.26954.696938.16957.73
RMSE0.0210300.0210060.0209980.020976
MAE0.0109810.0109590.0109450.010934
MAPE177.39170.14166.13156.25

*indicates significance at 10%.
**indicates significance at 5%.
***indicates that values are significant at 1%.