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

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***
Expday	0.0032***	0.0030***	0.0033***	0.0038***
Expday * Lnvol	0.0002***	0.0002***	0.0002***	0.0002***
Alpha	0.1499***	0.0600***	0.1398***	0.1264***
Gamma	—	0.1859***	−0.0429***	0.5389***
Beta	0.8125***	0.7918***	0.9375***	0.8317***
Expday	4.34𝐸−005	5.41𝐸−05 *	0.3971***	0.0023**
Expday * Lnvol	2.36𝐸−006	2.82𝐸−06 *	0.0226***	0.0001**
LogL	6947.2	6954.69	6938.1	6957.73
RMSE	0.021030	0.021006	0.020998	0.020976
MAE	0.010981	0.010959	0.010945	0.010934
MAPE	177.39	170.14	166.13	156.25

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