Table 19. Fevd for diff LN GERDAX30_2 vs... | Emerald Publishing

Table 19.

Fevd for diff LN GERDAX30_2 vs diff LN index AL_2

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	0.015	100.000	0.000	0.024	3.946	96.054
2	0.015	99.921	0.079	0.025	3.916	96.084
3	0.015	99.920	0.080	0.025	3.915	96.085
4	0.015	99.920	0.080	0.025	3.915	96.085
5	0.015	99.920	0.080	0.025	3.915	96.085
6	0.015	99.920	0.080	0.025	3.915	96.085
7	0.015	99.920	0.080	0.025	3.915	96.085
8	0.015	99.920	0.080	0.025	3.915	96.085
9	0.015	99.920	0.080	0.025	3.915	96.085
10	0.015	99.920	0.080	0.025	3.915	96.085

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	0.015	100.000	0.000	0.024	3.946	96.054
2	0.015	99.921	0.079	0.025	3.916	96.084
3	0.015	99.920	0.080	0.025	3.915	96.085
4	0.015	99.920	0.080	0.025	3.915	96.085
5	0.015	99.920	0.080	0.025	3.915	96.085
6	0.015	99.920	0.080	0.025	3.915	96.085
7	0.015	99.920	0.080	0.025	3.915	96.085
8	0.015	99.920	0.080	0.025	3.915	96.085
9	0.015	99.920	0.080	0.025	3.915	96.085
10	0.015	99.920	0.080	0.025	3.915	96.085

Note:

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

Source: Personal elaboration on Datastream (2021)