Result of variance decomposition analysis
| Variables | Period | Percentage of forecast error variance explained by innovation in: | |
|---|---|---|---|
| BSE_Energy | Oil price | ||
| BSE_Energy | 1 | 100.0000 | 0.000000 |
| 3 | 98.99788 | 1.002122 | |
| 6 | 98.95095 | 1.049055 | |
| 9 | 94.13499 | 5.865012 | |
| 12 | 84.24080 | 15.75920 | |
| 15 | 73.84445 | 26.15555 | |
| 18 | 65.23620 | 34.76380 | |
| 21 | 58.63380 | 41.36620 | |
| 24 | 53.62835 | 46.37165 | |
| Oil price | 1 | 2.340716 | 97.65928 |
| 3 | 4.923344 | 95.07666 | |
| 6 | 3.785380 | 96.21462 | |
| 9 | 3.027289 | 96.97271 | |
| 12 | 2.791908 | 97.20809 | |
| 15 | 2.956510 | 97.04349 | |
| 18 | 3.346642 | 96.65336 | |
| 21 | 3.835771 | 96.16423 | |
| 24 | 4.353888 | 95.64611 | |
| Variables | Period | Percentage of forecast error variance | |
|---|---|---|---|
| BSE_Energy | Oil price | ||
| BSE_Energy | 1 | 100.0000 | 0.000000 |
| 3 | 98.99788 | 1.002122 | |
| 6 | 98.95095 | 1.049055 | |
| 9 | 94.13499 | 5.865012 | |
| 12 | 84.24080 | 15.75920 | |
| 15 | 73.84445 | 26.15555 | |
| 18 | 65.23620 | 34.76380 | |
| 21 | 58.63380 | 41.36620 | |
| 24 | 53.62835 | 46.37165 | |
| Oil price | 1 | 2.340716 | 97.65928 |
| 3 | 4.923344 | 95.07666 | |
| 6 | 3.785380 | 96.21462 | |
| 9 | 3.027289 | 96.97271 | |
| 12 | 2.791908 | 97.20809 | |
| 15 | 2.956510 | 97.04349 | |
| 18 | 3.346642 | 96.65336 | |
| 21 | 3.835771 | 96.16423 | |
| 24 | 4.353888 | 95.64611 | |
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