Long-Term Effects of Expiration of Derivatives on Indian Spot Volatility

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***	0.0208	0.0264*
S&P 500(−1)	0.2119***	0.2136***	0.2144***	0.2147***
Nextday	0.0039***	0.0043***	0.0046***	0.0047***
Nextday * Lnvol	0.0002***	0.0002***	0.0002***	0.0003***
Alpha	0.1526***	0.0671**	0.1378***	0.1269***
Gamma	—	0.1813***	−0.0331**	0.5367***
Beta	0.8119***	0.7974***	0.9479***	0.8411***
Nextday	5.3𝐸−05 *	6.13𝐸−05 **	0.4269***	0.0029***
Nextday * Lnvol	2.96𝐸−06 *	3.37𝐸−06 **	0.0235***	0.0002***
LogL	6952.92	6958.54	6940.28	6962.28
RMSE	0.021008	0.020954	0.020959	0.020954
MAE	0.010950	0.010914	0.010916	0.010914
MAPE	171.34	146.57	148.39	146.25

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