Table 15. Fevd for diff LN UKFTSE100_1... | Emerald Publishing

Table 15.

Fevd for diff LN UKFTSE100_1 vs diff LN index AL_1

Decomposition of variance for diff LN UK FTSE 100				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	0.009	100.000	0.000	0.020	0.001	99.999
2	0.009	99.978	0.022	0.020	0.007	99.993
3	0.009	99.978	0.022	0.020	0.007	99.993
4	0.009	99.978	0.022	0.020	0.007	99.993
5	0.009	99.978	0.022	0.020	0.007	99.993
6	0.009	99.978	0.022	0.020	0.007	99.993
7	0.009	99.978	0.022	0.020	0.007	99.993
8	0.009	99.978	0.022	0.020	0.007	99.993
9	0.009	99.978	0.022	0.020	0.007	99.993
10	0.009	99.978	0.022	0.020	0.007	99.993

Decomposition of variance for diff LN UK FTSE 100				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	0.009	100.000	0.000	0.020	0.001	99.999
2	0.009	99.978	0.022	0.020	0.007	99.993
3	0.009	99.978	0.022	0.020	0.007	99.993
4	0.009	99.978	0.022	0.020	0.007	99.993
5	0.009	99.978	0.022	0.020	0.007	99.993
6	0.009	99.978	0.022	0.020	0.007	99.993
7	0.009	99.978	0.022	0.020	0.007	99.993
8	0.009	99.978	0.022	0.020	0.007	99.993
9	0.009	99.978	0.022	0.020	0.007	99.993
10	0.009	99.978	0.022	0.020	0.007	99.993

Note:

Table reports the forecast error variance decomposition values calculated for impulse-response analysis

Source: Personal elaboration on Datastream (2021)