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} |