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

From: Derived signals for S & P CNX nifty index futures

Estimators Estimates
\( {\widehat{\gamma}}_{01} \) 13.4314*
(0.0000)
\( {\widehat{\gamma}}_{11} \) −0.0003
(0.3743)
\( {\widehat{\gamma}}_{21} \) −0.0017**
(0.0559)
\( {\widehat{\gamma}}_{31} \) −0.00001
(0.4695)
\( {\widehat{\gamma}}_{41} \) 0.1202*
(0.0000)
\( {\widehat{\gamma}}_{511} \) 0.1289*
(0.0000)
\( {\widehat{\gamma}}_{512} \) 0.1299*
(0.0000)
\( {\widehat{\gamma}}_{513} \) 0.2368*
(0.0000)
\( {\widehat{\delta}}_{01} \) 0.000003*
(0.0000)
\( {\widehat{\delta}}_{11} \) 1.0000*
(0.0000)
\( {\widehat{\delta}}_{21} \) −0.000000*
(0.0000)
\( {\widehat{\delta}}_{31} \) −0.000001**
(0.1432)
Log-Likelihood 2156.2286
  1. 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,
  2. \( {M}_{3t}={\hat{\gamma}}_{01}+{\hat{\gamma}}_{11}\triangle {\hat{u}}_{t-1}+{\hat{\gamma}}_{21}\triangle {\hat{u}}_{t-2}+{\hat{\gamma}}_{31}\triangle {w}_{t-1}+{\hat{\gamma}}_{41}{T}_{pt}+{\hat{\gamma}}_{51}\sum_{i=1}^3{D}_i+{\varepsilon}_{m3t} \)
  3. \( {h}_{1t}={\hat{\delta}}_{01}+{\hat{\delta}}_{11}{\hat{\varepsilon}}_{m3t-1}^2+{\hat{\delta}}_{21}{h}_{1t-1}+{\hat{\delta}}_{31}\triangle {w}_{t-1}^2 \)
  4. 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