Table 4 Day-of-the-week/weekend effect EGARCH-in-mean model
From: Impact of market anomalies on stock exchange: a comparative study of KSE and PSX
KSE | PSX | ||||||
|---|---|---|---|---|---|---|---|
Variables | Coefficients | z-statistics | Probability | Variables | Coefficients | z-statistics | Probability |
Mean equation | |||||||
D1 | 6803.431 | 46.86957 | 0.0000*** | D1 | 79.00906 | 504.6870 | 0.0000*** |
D2 | 6899.661 | 46.97317 | 0.0000*** | D2 | 79.34979 | 525.4269 | 0.0000*** |
D3 | 6919.985 | 46.93577 | 0.0000*** | D3 | 79.35385 | 472.3930 | 0.0000*** |
D4 | 6946.823 | 47.03507 | 0.0000*** | D4 | 79.84702 | 536.2018 | 0.0000*** |
D5 | 6948.214 | 47.23603 | 0.0000*** | D5 | 79.97299 | 381.4094 | 0.0000*** |
Variance equation | |||||||
C(6) | 11.53601 | 91.19732 | 0.0000*** | C(6) | − 0.711973 | − 3.984881 | 0.0001*** |
C(7) | 1.999259 | 10.21317 | 0.0000*** | C(7) | 1.327377 | 5.426888 | 0.0000*** |
C(8) | − 0.163404 | − 0.770643 | 0.0020*** | C(8) | 0.140330 | 1.026331 | 0.0034*** |
C(9) | 0.202226 | 27.98723 | 0.0000*** | C(9) | 0.735166 | 8.669524 | 0.0000*** |
R2: 0.711973 | R2: 0.703321 | ||||||