Table 13. Fevd for diff LN GERDAX30_1 vs... | Emerald Publishing

Table 13.

Fevd for diff LN GERDAX30_1 vs diff LN index AL_1

Decomposition of variance for diff LN GERDAX 30				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	0.012	100.000	0.000	0.020	0.079	99.921
2	0.012	99.954	0.046	0.020	0.095	99.905
3	0.012	99.954	0.046	0.020	0.095	99.905
4	0.012	99.954	0.046	0.020	0.095	99.905
5	0.012	99.954	0.046	0.020	0.095	99.905
6	0.012	99.954	0.046	0.020	0.095	99.905
7	0.012	99.954	0.046	0.020	0.095	99.905
8	0.012	99.954	0.046	0.020	0.095	99.905
9	0.012	99.954	0.046	0.020	0.095	99.905
10	0.012	99.954	0.046	0.020	0.095	99.905

Decomposition of variance for diff LN GERDAX 30				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	0.012	100.000	0.000	0.020	0.079	99.921
2	0.012	99.954	0.046	0.020	0.095	99.905
3	0.012	99.954	0.046	0.020	0.095	99.905
4	0.012	99.954	0.046	0.020	0.095	99.905
5	0.012	99.954	0.046	0.020	0.095	99.905
6	0.012	99.954	0.046	0.020	0.095	99.905
7	0.012	99.954	0.046	0.020	0.095	99.905
8	0.012	99.954	0.046	0.020	0.095	99.905
9	0.012	99.954	0.046	0.020	0.095	99.905
10	0.012	99.954	0.046	0.020	0.095	99.905

Note:

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

Source: Personal elaboration on Datastream (2021)