Table 16. Fevd for diff LN USNYSE_1 vs... | Emerald Publishing

Table 16.

Fevd for diff LN USNYSE_1 vs diff LN index AL_1

Decomposition of variance for diff LN NYSE				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	0.008	100.000	0.000	0.020	0.006	99.994
2	0.008	99.995	0.005	0.020	0.006	99.994
3	0.008	99.995	0.005	0.020	0.006	99.994
4	0.008	99.995	0.005	0.020	0.006	99.994
5	0.008	99.995	0.005	0.020	0.006	99.994
6	0.008	99.995	0.005	0.020	0.006	99.994
7	0.008	99.995	0.005	0.020	0.006	99.994
8	0.008	99.995	0.005	0.020	0.006	99.994
9	0.008	99.995	0.005	0.020	0.006	99.994
10	0.008	99.995	0.005	0.020	0.006	99.994

Decomposition of variance for diff LN NYSE				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	0.008	100.000	0.000	0.020	0.006	99.994
2	0.008	99.995	0.005	0.020	0.006	99.994
3	0.008	99.995	0.005	0.020	0.006	99.994
4	0.008	99.995	0.005	0.020	0.006	99.994
5	0.008	99.995	0.005	0.020	0.006	99.994
6	0.008	99.995	0.005	0.020	0.006	99.994
7	0.008	99.995	0.005	0.020	0.006	99.994
8	0.008	99.995	0.005	0.020	0.006	99.994
9	0.008	99.995	0.005	0.020	0.006	99.994
10	0.008	99.995	0.005	0.020	0.006	99.994

Note:

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

Source: Personal elaboration on Datastream (2021)