Derived signals for S & P CNX nifty index futures

Financial Innovation

Table 4 Second stage V-IGARCH(1,1) regression model (Equation 3)

Note:* (**) Significant at 0.01(<0.01) level. The second stage V-IGARCH(1,1) estimation considers NSE daily data from December 02, 2002, to November 30, 2004. Mean and conditional variance equations are,
\( {M}_{3t}={\hat{\gamma}}_{01}+{\hat{\gamma}}_{11}\triangle {\hat{u}}_{t-1}+{\hat{\gamma}}_{21}\triangle {\hat{u}}_{t-2}+{\hat{\gamma}}_{31}\triangle {w}_{t-1}+{\hat{\gamma}}_{41}{T}_{pt}+{\hat{\gamma}}_{51}\sum_{i=1}^3{D}_i+{\varepsilon}_{m3t} \)
\( {h}_{1t}={\hat{\delta}}_{01}+{\hat{\delta}}_{11}{\hat{\varepsilon}}_{m3t-1}^2+{\hat{\delta}}_{21}{h}_{1t-1}+{\hat{\delta}}_{31}\triangle {w}_{t-1}^2 \)
where, M _3t = total money supply, T _pt = trading prices, and D _i = dummy variables = time of submission of limit orders. Dummy variables = D ₁ is the initial period of the Nifty trading, D ₂ is in between the initial and the last periods of trading, and D ₃ is the last period of the Nifty trading. \( \triangle {\hat{u}}_{t-1} \), \( \triangle {\hat{u}}_{t-2} \), ∆w _t − 1, and \( \triangle {w}_{t-1}^2 \) = First and second differenced residuals and first differenced credit availability dummy values are derived from the first stage V-IGARCH (1, 1) estimation. The results indicate that there is a negative effect of total money supply on returns through lower credit availability positions