Table 3: Impact of next day and its volume on spot return and volatility.

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

Nifty(−1)0.0358**0.0437***0.02080.0264*
S&P 500(−1)0.2119***0.2136***0.2144***0.2147***
Nextday0.0039***0.0043***0.0046***0.0047***
Nextday * Lnvol0.0002***0.0002***0.0002***0.0003***
Alpha0.1526***0.0671**0.1378***0.1269***
Gamma0.1813***−0.0331**0.5367***
Beta0.8119***0.7974***0.9479***0.8411***
Nextday * ** 0.4269***0.0029***
Nextday * Lnvol * ** 0.0235***0.0002***
LogL6952.926958.546940.286962.28
RMSE0.0210080.0209540.0209590.020954
MAE0.0109500.0109140.0109160.010914
MAPE171.34146.57148.39146.25

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