Derived signals for S & P CNX nifty index futures

Financial Innovation

Table 3 First stage V-IGARCH(1,1) regression model (Equation 2)

Note:* (**) Significant at 0.01 (<0.01) level. ^† Significant at 0.01 level. The first stage V-IGARCH(1,1) estimation considers NSE daily data from December 02, 2002, to November 30, 2004. Mean and conditional variance equations are,
\( {V}_t={\widehat{\beta}}_0+{\widehat{\beta}}_1{M}_t+{\widehat{\beta}}_2{w}_t+{u}_t \)
\( {h}_t={\widehat{\alpha}}_0+{\widehat{\alpha}}_1{\widehat{u}}_{t-1}^2+{\widehat{\alpha}}_2{h}_{t-1}+{\widehat{\alpha}}_3{w}_{t-1}^2 \)
where,V _t = returns, M _t. = trading margins, and w _t = credit availability dummy variable. The results indicate that inefficient returns exist with the existing inefficient trading margins and ineffective credit availability positions. The non-realization of returns is due to conditional probabilistic values, which are explained in second stage V-IGARCH (1, 1) estimations. Here, the conditional variance is 1.02 (\( {\widehat{\alpha}}_0+{\widehat{\alpha}}_1+{\widehat{\alpha}}_2+{\widehat{\alpha}}_3 \)), where Nifty variance returns are negative at around −1.20 (Fig. 1c)