Table 17. Fevd for diff LN IBOVESPA_2 vs... | Emerald Publishing

Table 17.

Fevd for diff LN IBOVESPA_2 vs diff LN index AL_2

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	0.018	100.000	0.000	0.024	6.354	93.646
2	0.018	99.993	0.007	0.025	6.315	93.685
3	0.018	99.993	0.007	0.025	6.315	93.685
4	0.018	99.993	0.007	0.025	6.315	93.685
5	0.018	99.993	0.007	0.025	6.315	93.685
6	0.018	99.993	0.007	0.025	6.315	93.685
7	0.018	99.993	0.007	0.025	6.315	93.685
8	0.018	99.993	0.007	0.025	6.315	93.685
9	0.018	99.993	0.007	0.025	6.315	93.685
10	0.018	99.993	0.007	0.025	6.315	93.685

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	0.018	100.000	0.000	0.024	6.354	93.646
2	0.018	99.993	0.007	0.025	6.315	93.685
3	0.018	99.993	0.007	0.025	6.315	93.685
4	0.018	99.993	0.007	0.025	6.315	93.685
5	0.018	99.993	0.007	0.025	6.315	93.685
6	0.018	99.993	0.007	0.025	6.315	93.685
7	0.018	99.993	0.007	0.025	6.315	93.685
8	0.018	99.993	0.007	0.025	6.315	93.685
9	0.018	99.993	0.007	0.025	6.315	93.685
10	0.018	99.993	0.007	0.025	6.315	93.685

Note:

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

Source: Personal elaboration on Datastream (2021)