Table 3

Optimal number of lags of our VAR models

TickerLAGS (1)LAGS (2)
Panel A: Model 1 – RPX and PR
AJG−7.154−7.266
AJIT−7.985−8.128
BGFD−5.776−5.925
BGS−6.656−6.865
CAF−6.513−6.495
EEA−7.281−7.265
FJV−6.855−6.947
GCH−4.810−4.879
GF−7.952−8.021
IFF−6.751−6.788
IFN−6.928−6.936
ISL−7.602−7.624
JEQ−7.285−7.321
JFJ−7.757−7.770
JII−7.734−7.845
JMC−5.819−5.860
JOF−6.053−6.066
JPB−8.566−8.561
JPS−7.278−7.394
JRS−8.435−8.655
MXF−8.210−8.211
NAIT−9.525−9.616
NII−7.546−7.752
SGF−9.340−9.398
SJG−7.757−7.770
TDF−6.389−6.425
TRF−4.686−4.698
TWN−5.039−5.042
VNH−5.276−5.297
# CEFs326
Panel B: Model 2 – RNAV and PR
AJG−7.181−7.274
AJIT−8.073−8.133
BGFD−6.037−6.155
BGS−6.679−6.867
CAF−6.513−6.495
EEA−7.429−7.415
FJV−6.837−6.931
GCH−4.788−4.879
GF−7.964−8.001
IFF−6.754−6.803
IFN−6.938−6.951
ISL−7.546−7.592
JEQ−7.385−7.384
JFJ−7.151−7.175
JII−7.747−7.860
JMC−5.844−5.858
JOF−6.114−6.118
JPB−8.634−8.578
JPS−7.277−7.404
JRS−8.432−8.675
MXF−8.210−8.211
NAIT−9.534−9.627
NII−7.639−7.779
SGF−9.365−9.378
SJG−7.728−7.767
TDF−6.396−6.447
TRF−4.624−4.698
TWN−5.131−5.129
VNH−5.915−5.886
#CEFs623

Note(s): This table reports Akaike information criterion (AIC) values for our vector autoregressive (VAR) models with one or two lags. For each fund, we report the minimum value of AIC in italic. In the last row, we count the number of funds in which the optimal number of lags is equal to one or two

Source(s): Own elaboration

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