Table 14. Fevd for diff LN INDBOMB_1 vs... | Emerald Publishing

Table 14.

Fevd for diff LN INDBOMB_1 vs diff LN index AL_1

Decomposition of variance for diff LN IND BOMB				Decomposition of variance for diff LNIndex AL
Period	Std err	diff LN IBOVESPA	diff LN index AL	Std err	diff LN IBOVESPA	diff LN index AL
1	0.017	100.000	0.000	0.020	0.026	99.974
2	0.017	99.984	0.016	0.020	0.052	99.948
3	0.017	99.984	0.016	0.020	0.052	99.948
4	0.017	99.984	0.016	0.020	0.052	99.948
5	0.017	99.984	0.016	0.020	0.052	99.948
6	0.017	99.984	0.016	0.020	0.052	99.948
7	0.017	99.984	0.016	0.020	0.052	99.948
8	0.017	99.984	0.016	0.020	0.052	99.948
9	0.017	99.984	0.016	0.020	0.052	99.948
10	0.017	99.984	0.016	0.020	0.052	99.948

Decomposition of variance for diff LN IND BOMB				Decomposition of variance for diff LNIndex AL
Period	Std err	diff LN IBOVESPA	diff LN index AL	Std err	diff LN IBOVESPA	diff LN index AL
1	0.017	100.000	0.000	0.020	0.026	99.974
2	0.017	99.984	0.016	0.020	0.052	99.948
3	0.017	99.984	0.016	0.020	0.052	99.948
4	0.017	99.984	0.016	0.020	0.052	99.948
5	0.017	99.984	0.016	0.020	0.052	99.948
6	0.017	99.984	0.016	0.020	0.052	99.948
7	0.017	99.984	0.016	0.020	0.052	99.948
8	0.017	99.984	0.016	0.020	0.052	99.948
9	0.017	99.984	0.016	0.020	0.052	99.948
10	0.017	99.984	0.016	0.020	0.052	99.948

Note:

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

Source: Personal elaboration on Datastream (2021)