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

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**	0.0226	0.0216
S&P 500(−1)	0.2164***	0.2194***	0.2285***	0.2297***
NExpday	0.0005	0.0002	0.0002	0.0002
NExpday * Lnvol	4.85𝐸−005	1.47𝐸−005	9.77𝐸−006	1.21𝐸−05
Alpha	0.1507***	0.0689**	0.1229***	0.1192***
Gamma	—	0.1766***	−0.0188	0.4774***
Beta	0.8152***	0.7987***	0.9557***	0.8554***
NExpday	−1.65𝐸−005	−2.37𝐸−005	0.0505	−0.0006
NExpday * Lnvol	−8.61𝐸−007	−1.21𝐸−006	0.0035	−3.39𝐸−05
LogL	6966.97	6973.63	6592.78	6973.36
RMSE	0.021012	0.020949	0.020964	0.020932
MAE	0.010938	0.010918	0.010921	0.010917
MAPE	173.16	149.18	150.27	148.35

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