VAR Lag Order Selection Criteria

Endogenous variables: CNX_NIFTY_SR MCX_COMDEX_SR MCX_COMDEX_FR

Exogenous variables: C

Total Period (2005-2014)

Lag

LogL

LR

FPE

AIC

SC

HQ

0

19461.84

NA

4.93E−12

−17.5226

−17.51489*

−17.51978

1

19481.46

39.15822

4.88e−12*

−17.53216*

−17.50133

−17.52090*

2

19489.48

15.99536

4.88E−12

−17.53128

−17.47733

−17.51157

3

19493.58

8.157574

4.91E−12

−17.52686

−17.44979

−17.49871

4

19498.75

10.27769

4.92E−12

−17.52341

−17.42322

−17.48682

5

19503.21

8.870064

4.94E−12

−17.51933

−17.39602

−17.47429

6

19509.24

11.95334

4.96E−12

−17.51665

−17.37022

−17.46317

7

19518.17

17.66735

4.96E−12

−17.51658

−17.34703

−17.45466

8

19527.05

17.56727*

4.96E−12

−17.51648

−17.3238

−17.44611

Pre−Recession (June 2005-March 2009)

Lag

LogL

LR

FPE

AIC

SC

HQ

0

6009.918

NA

3.64E−12

−17.82468

−17.80459*

−17.81690*

1

6022.447

24.90823

3.60e−12*

−17.83515*

−17.7548

−17.80404

2

6028.257

11.50053

3.64E−12

−17.82569

−17.68507

−17.77124

3

6034.598

12.49234

3.67E−12

−17.8178

−17.61691

−17.74001

4

6039.893

10.38598

3.71E−12

−17.8068

−17.54565

−17.70568

5

6050.739

21.17720*

3.69E−12

−17.81228

−17.49086

−17.68782

6

6053.469

5.307167

3.76E−12

−17.79368

−17.412

−17.64588

7

6059.389

11.45233

3.79E−12

−17.78454

−17.34259

−17.6134

8

6064.09

9.05392

3.84E−12

−17.77178

−17.26957

−17.57731

Recession (April 2008-March 2011)

Lag

LogL

LR

FPE

AIC

SC

HQ

0

6037.15

NA

1.30E−11

−16.55459

−16.5357

−16.5473

1

6138.186

200.9629

1.01E−11

−16.80709

−16.73151

−16.77793

2

6255.72

232.8126

7.48E−12

−17.10486

−16.97259

−17.05382

3

6289.799

67.22148

6.98E−12

−17.17366

16.98470*

−17.10075*

4

6302.442

24.83505

6.92E−12

−17.18365

−16.93801

−17.08888

5

6315.85

26.22857

6.83E−12

−17.19575

−16.89342

−17.0791

6

6329.766

27.10582

6.74E−12

−17.20923

−16.85021

−17.07071

7

6343.065

25.79614*

6.66e−12*

17.22103*

−16.80532

−17.06064

8

6350.186

13.75242

6.70E−12

−17.21587

−16.74348

−17.03361