Table 10. VAR (p) Models for series_2...

Table 10.

VAR (p) Models for series_2 (post-financialization sample)

Post-financialization N = 4,548	Lag order	Log L_{`συβ>τ`/συβ>}	BIC
Diff Log IBOVESPA_2-Diff Log AL_2	1	27,061.88	−9.87
DiffLog CHISHA_2-Diff Log AL_2	1	27,835.00	−10.15
Diff Log DAX30_2-Diff Log AL_2	1	27,998.21	−10.21
Diff Log INDBOMB_2-Diff Log AL_2	1	27,980.98	−10.21
Diff Log FTSE 100_2-Diff Log AL_2	1	29,290.17	−10.69
Diff LogNYSE_2-Diff Log AL_2	1	29,160.40	−10.64

Post-financialization N = 4,548	Lag order	Log L_{`συβ>τ`/συβ>}	BIC
Diff Log IBOVESPA_2-Diff Log AL_2	1	27,061.88	−9.87
DiffLog CHISHA_2-Diff Log AL_2	1	27,835.00	−10.15
Diff Log DAX30_2-Diff Log AL_2	1	27,998.21	−10.21
Diff Log INDBOMB_2-Diff Log AL_2	1	27,980.98	−10.21
Diff Log FTSE 100_2-Diff Log AL_2	1	29,290.17	−10.69
Diff LogNYSE_2-Diff Log AL_2	1	29,160.40	−10.64

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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