Table 21. Fevd for diff LN UKFTSE100_2... | Emerald Publishing

Table 21.

Fevd for diff LN UKFTSE100_2 vs diff LN index AL_2

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	0.012	100.000	0.000	0.024	6.967	93.033
2	0.012	99.931	0.069	0.025	6.948	93.052
3	0.012	99.930	0.070	0.025	6.948	93.052
4	0.012	99.930	0.070	0.025	6.948	93.052
5	0.012	99.930	0.070	0.025	6.948	93.052
6	0.012	99.930	0.070	0.025	6.948	93.052
7	0.012	99.930	0.070	0.025	6.948	93.052
8	0.012	99.930	0.070	0.025	6.948	93.052
9	0.012	99.930	0.070	0.025	6.948	93.052
10	0.012	99.930	0.070	0.025	6.948	93.052

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	0.012	100.000	0.000	0.024	6.967	93.033
2	0.012	99.931	0.069	0.025	6.948	93.052
3	0.012	99.930	0.070	0.025	6.948	93.052
4	0.012	99.930	0.070	0.025	6.948	93.052
5	0.012	99.930	0.070	0.025	6.948	93.052
6	0.012	99.930	0.070	0.025	6.948	93.052
7	0.012	99.930	0.070	0.025	6.948	93.052
8	0.012	99.930	0.070	0.025	6.948	93.052
9	0.012	99.930	0.070	0.025	6.948	93.052
10	0.012	99.930	0.070	0.025	6.948	93.052

Note:

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

Source: Personal elaboration on Datastream (2021)