Table 8 Forecast error variance... | Emerald Publishing

Table 8

Forecast error variance decomposition of ΔCoVaR (1)

Period (month)	$△$ CoVaR	DTE	VUCI
1	79.84	0.37	19.79
2	78.77	0.89	20.34
3	77.74	1.55	20.71
4	76.98	1.96	21.06
5	76.42	2.25	21.33
6	75.03	3.33	21.64
7	74.75	3.51	21.74
8	73.56	4.36	22.08
9	72.43	4.89	22.68
10	72.34	4.95	22.71
11	71.28	5.40	23.32
12	70.24	5.44	24.32

Period (month)	$△$ CoVaR	DTE	VUCI
1	79.84	0.37	19.79
2	78.77	0.89	20.34
3	77.74	1.55	20.71
4	76.98	1.96	21.06
5	76.42	2.25	21.33
6	75.03	3.33	21.64
7	74.75	3.51	21.74
8	73.56	4.36	22.08
9	72.43	4.89	22.68
10	72.34	4.95	22.71
11	71.28	5.40	23.32
12	70.24	5.44	24.32

Source(s): Authors’ calculation