Independent Variables

Model 1: OLS

Model 2: EGARCH

Independent Variables

Model 3: OLS

Model 4: EGARCH

Independent Variables

Model 5: OLS

Model 6: EGARCH

Estimate

Estimate

Estimate

Estimate

Estimate

Estimate

Constant

0.0002

(0.221)

0.001

[1.110]

Constant

0.0009

(0.720)

0.0003

[0.252]

Constant

0.0007

(0.555)

0.0003

[0.263]

EXPORT report day

0.018

(0.500)

0.011

[0.173]

EXPORT report one day before

0.063

(1.714)

0.062

[1.278]

EXPORT report one day after

−0.038

(−1.062)

−0.035

[−1.043]

FISCAL DEFICIT report day

−0.003

(−0.417)

0.0002

[0.033]

FISCAL DEFICIT report one day before

0.008

(1.068)

0.012

[1.912]

FISCAL DEFICIT report one day after

−0.009

(−1.133)

−0.008

[−1.114]

GDP report day

−0.011

(−1.095)

−0.009

[−1.023]

GDP report one day before

−0.002

(−0.212)

−0.005

[−0.591]

GDP report one day after

−0.013

(−1.271)

0.004

[0.516]

IIP report day

−0.004

(−0.773)

−0.005

[−0.951]

IIP report one day before

−0.004

(−0.680)

−0.002

[−0.432]

IIP report one day after

0.009

(1.532)

0.005

[0.893]

IMPORT report day

−0.020

(−0.550)

−0.011

[−0.176]

IMPORT report one day before

−0.057

(−1.570)

−0.057

[−1.165]

IMPORT report one day after

0.033

(0.907)

0.031

[0.905]

INFLATION report day

0.005

(0.857)

0.005

[0.755]

INFLATION report one day before

−0.0006

(−0.109)

0.002

[0.367]

INFLATION report one day after

−0.005

(−0.801)

−0.004

[−0.839]

MCIR report day

−0.020*

(−2.812)

−0.017*

[−2.783]

MCIR report one day before

0.003

(0.508)

0.003

[0.386]

MCIR report one day after

0.019*

(2.739)

0.023*

[3.489]

GARCH effect

0.967*

[199.2]

0.969*

[214.08]

0.964*

[166.7]

Leverage effect

0.115*

[13.31]

0.117*

[13.76]

0.115*

[12.44]

ARCH-LM Statistics

0.876

{0.349}

0.737

{0.390}

0.716

{0.397}