Table 4: Impact of nonexpiry 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**0.0408**0.02260.0216
S&P 500(−1)0.2164***0.2194***0.2285***0.2297***
NExpday0.00050.00020.00020.0002
NExpday * Lnvol
Alpha0.1507***0.0689**0.1229***0.1192***
Gamma0.1766***−0.01880.4774***
Beta0.8152***0.7987***0.9557***0.8554***
NExpday 0.0505−0.0006
NExpday * Lnvol 0.0035
LogL6966.976973.636592.786973.36
RMSE0.0210120.0209490.0209640.020932
MAE0.0109380.0109180.0109210.010917
MAPE173.16149.18150.27148.35

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