Forecast error variance decomposition of ΔCoVaR (2)
| Period (month) | CoVaR | DTE | VUCI |
|---|---|---|---|
| 1 | 79.79 | 0.49 | 19.72 |
| 2 | 78.99 | 1.01 | 20.00 |
| 3 | 78.01 | 1.63 | 20.36 |
| 4 | 77.60 | 1.98 | 20.42 |
| 5 | 77.04 | 2.44 | 20.52 |
| 6 | 76.32 | 2.95 | 20.73 |
| 7 | 75.75 | 3.48 | 20.77 |
| 8 | 75.23 | 3.91 | 20.86 |
| 9 | 74.73 | 4.37 | 20.90 |
| 10 | 74.07 | 4.89 | 21.04 |
| 11 | 73.89 | 5.02 | 21.09 |
| 12 | 73.66 | 5.22 | 21.12 |
| Period (month) | DTE | VUCI | |
|---|---|---|---|
| 1 | 79.79 | 0.49 | 19.72 |
| 2 | 78.99 | 1.01 | 20.00 |
| 3 | 78.01 | 1.63 | 20.36 |
| 4 | 77.60 | 1.98 | 20.42 |
| 5 | 77.04 | 2.44 | 20.52 |
| 6 | 76.32 | 2.95 | 20.73 |
| 7 | 75.75 | 3.48 | 20.77 |
| 8 | 75.23 | 3.91 | 20.86 |
| 9 | 74.73 | 4.37 | 20.90 |
| 10 | 74.07 | 4.89 | 21.04 |
| 11 | 73.89 | 5.02 | 21.09 |
| 12 | 73.66 | 5.22 | 21.12 |
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