Table 4 Impulse-response effect of the... | Emerald Publishing

Table 4

Impulse-response effect of the ISI on the variables of interest

Steps	ISI		Return		Volatility
Steps	IRF	FEVD	IRF	FEVD	IRF	FEVD
1	0.0061	1.0000	−0.0012	0.0192	−0.0132	0.0437
2	0.0037	0.9995	−0.0001	0.0287	−0.0136	0.0423
3	0.0013	0.9992	<0.0000	0.0283	−0.0032	0.0421
4	0.0006	0.9990	<0.0001	0.0283	−0.0028	0.0414
5	0.0002	0.9990	<0.0000	0.0283	−0.0014	0.0410
6	0.0001	0.9989	<0.0001	0.0283	−0.0009	0.0409
7	<0.0001	0.9989	<0.0001	0.0283	−0.0005	0.0409
8	<0.0001	0.9989	<0.0001	0.0283	−0.0003	0.0408
9	<0.0001	0.9989	<0.0001	0.0283	−0.0002	0.0408
10	<0.0001	0.9989	<0.0001	0.0283	−0.0001	0.0408

Steps	ISI		Return		Volatility
Steps	IRF	FEVD	IRF	FEVD	IRF	FEVD
1	0.0061	1.0000	−0.0012	0.0192	−0.0132	0.0437
2	0.0037	0.9995	−0.0001	0.0287	−0.0136	0.0423
3	0.0013	0.9992	<0.0000	0.0283	−0.0032	0.0421
4	0.0006	0.9990	<0.0001	0.0283	−0.0028	0.0414
5	0.0002	0.9990	<0.0000	0.0283	−0.0014	0.0410
6	0.0001	0.9989	<0.0001	0.0283	−0.0009	0.0409
7	<0.0001	0.9989	<0.0001	0.0283	−0.0005	0.0409
8	<0.0001	0.9989	<0.0001	0.0283	−0.0003	0.0408
9	<0.0001	0.9989	<0.0001	0.0283	−0.0002	0.0408
10	<0.0001	0.9989	<0.0001	0.0283	−0.0001	0.0408

Note(s): ISI is the Twitter Investor Sentiment Index, IRF is the impulse response function, FEVD is forecast error variance decomposition