Independent Variables

Model 7

Model 8

Estimate

Estimate

Constant

−0.0001

(−0.104)

0.0004

[0.273]

EXPORT report day

0.018

(0.504)

0.020

[0.321]

FISCAL DEFICIT report day

−0.004

(−0.562)

−0.001

[−0.183]

GDP report day

−0.010

(−0.945)

−0.008

[−0.876]

IIP report day

−0.004

(−0.631)

−0.005

[−0.869]

IMPORT report day

−0.020

(−0.547)

−0.020

[−0.309]

INFLATION report day

0.006

(1.006)

0.006

[0.930]

MCIR report day

−0.019*

(−2.715)

−0.017*

[−2.676]

EXPORT report one day before

0.066

(1.566)

0.067

[1.139]

FISCAL DEFICIT report one day before

0.006

(0.759)

0.009

[1.463]

GDP report one day before

−0.002

(−0.232)

−0.007

[−0.733]

IIP report one day before

−0.005

(−0.758)

−0.003

[−0.574]

IMPORT report one day before

−0.061

(−1.453)

−0.060

[−1.034]

INFLATION report one day before

−0.001

(−0.237)

0.002

[0.382]

MCIR report one day before

0.003

(0.468)

0.002

[0.343]

EXPORT report one day after

−0.005

(−0.118)

−0.003

[−0.056]

FISCAL DEFICIT report one day after

−0.008

(−1.026)

−0.007

[−0.932]

GDP report one day after

−0.013

(−1.345)

0.003

[0.430]

IIP report one day after

0.008

(1.318)

0.004

[0.687]

IMPORT report one day after

0.0004

(0.010)

−0.0001

[−0.002]

INFLATION report one day after

−0.002

(−0.369)

−0.001

[−0.195]

MCIR report one day after

0.019*

(2.599)

0.022*

[3.455]

GARCH effect

0.967*

[190.7]

Leverage effect

0.118*

[12.94]

ARCH-LM Statistics

0.826

{0.363}