Table 11. Fevd for diff LN IBOVESPA_1 vs... | Emerald Publishing

Table 11.

Fevd for diff LN IBOVESPA_1 vs diff LN index AL_1

Decomposition of variance for diff LN IBOVESPA				Decomposition of variance for diff LN Index AL
Period	Std err	diff LN IBOVESPA	diff LN index AL	Std err	diff LN IBOVESPA	diff LN index AL
1	0.032	100.000	0.000	0.020	0.026	99.974
2	0.032	99.999	0.001	0.020	0.102	99.898
3	0.032	99.999	0.001	0.020	0.102	99.898
4	0.032	99.999	0.001	0.020	0.102	99.898
5	0.032	99.999	0.001	0.020	0.102	99.898
6	0.032	99.999	0.001	0.020	0.102	99.898
7	0.032	99.999	0.001	0.020	0.102	99.898
8	0.032	99.999	0.001	0.020	0.102	99.898
9	0.032	99.999	0.001	0.020	0.102	99.898
10	0.032	99.999	0.001	0.020	0.102	99.898

Decomposition of variance for diff LN IBOVESPA				Decomposition of variance for diff LN Index AL
Period	Std err	diff LN IBOVESPA	diff LN index AL	Std err	diff LN IBOVESPA	diff LN index AL
1	0.032	100.000	0.000	0.020	0.026	99.974
2	0.032	99.999	0.001	0.020	0.102	99.898
3	0.032	99.999	0.001	0.020	0.102	99.898
4	0.032	99.999	0.001	0.020	0.102	99.898
5	0.032	99.999	0.001	0.020	0.102	99.898
6	0.032	99.999	0.001	0.020	0.102	99.898
7	0.032	99.999	0.001	0.020	0.102	99.898
8	0.032	99.999	0.001	0.020	0.102	99.898
9	0.032	99.999	0.001	0.020	0.102	99.898
10	0.032	99.999	0.001	0.020	0.102	99.898

Note:

Table reports the Forecast Error Variance Decomposition values calculated for impulse-response analysis

Source: Personal elaboration on Datastream (2021)