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} |