Table 9. VAR (p) Models for series_1...

Table 9.

VAR (p) Models for series_1 (pre-financialization sample)

Pre-financialization N = 2,086	Lag order	Log L_{`συβ>τ`/συβ>}	BIC
Diff Log IBOVESPA_1-Diff Log AL_1	1	9,428.74	−9.02
DiffLog CHISHA_1-Diff Log AL_1	1	9,223.19	−8.82
Diff Log DAX30_1-Diff Log AL_1	1	11,525.26	−11.03
Diff Log INDBOMB_1-Diff Log AL_1	1	10,826.91	−10.36
Diff Log FTSE 100_1-Diff Log AL_1	1	12,092.29	−11.57
Diff LogNYSE_1-Diff Log AL_1	1	12,431.95	−11.90

Pre-financialization N = 2,086	Lag order	Log L_{`συβ>τ`/συβ>}	BIC
Diff Log IBOVESPA_1-Diff Log AL_1	1	9,428.74	−9.02
DiffLog CHISHA_1-Diff Log AL_1	1	9,223.19	−8.82
Diff Log DAX30_1-Diff Log AL_1	1	11,525.26	−11.03
Diff Log INDBOMB_1-Diff Log AL_1	1	10,826.91	−10.36
Diff Log FTSE 100_1-Diff Log AL_1	1	12,092.29	−11.57
Diff LogNYSE_1-Diff Log AL_1	1	12,431.95	−11.90

Note:

Table reports essential statistics of the VAR models. Lag selection is informed by BIC criterion. Heteroskedasticity-robust standard errors. p = lag order; L_T = likelihood function

Source: Personal elaborations on Datastream (2021)

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