Table 22. Fevd for diff LN USNYSE_2 vs... | Emerald Publishing

Table 22.

Fevd for diff LN USNYSE_2 vs diff LN index AL_2

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	0.012	100.000	0.000	0.024	8.626	91.374
2	0.012	99.933	0.067	0.025	8.608	91.392
3	0.012	99.931	0.069	0.025	8.613	91.387
4	0.012	99.931	0.069	0.025	8.614	91.386
5	0.012	99.931	0.069	0.025	8.614	91.386
6	0.012	99.931	0.069	0.025	8.614	91.386
7	0.012	99.931	0.069	0.025	8.614	91.386
8	0.012	99.931	0.069	0.025	8.614	91.386
9	0.012	99.931	0.069	0.025	8.614	91.386
10	0.012	99.931	0.069	0.025	8.614	91.386

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	0.012	100.000	0.000	0.024	8.626	91.374
2	0.012	99.933	0.067	0.025	8.608	91.392
3	0.012	99.931	0.069	0.025	8.613	91.387
4	0.012	99.931	0.069	0.025	8.614	91.386
5	0.012	99.931	0.069	0.025	8.614	91.386
6	0.012	99.931	0.069	0.025	8.614	91.386
7	0.012	99.931	0.069	0.025	8.614	91.386
8	0.012	99.931	0.069	0.025	8.614	91.386
9	0.012	99.931	0.069	0.025	8.614	91.386
10	0.012	99.931	0.069	0.025	8.614	91.386

Note:

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

Source: Personal elaboration on Datastream (2021)