VAR Lag Order Selection Criteria | ||||||
Endogenous variables: CNX_NIFTY_SR MCX_COMDEX_SR MCX_COMDEX_FR | ||||||
Exogenous variables: C | ||||||
Total Period (2005-2014) | ||||||
Lag | LogL | LR | FPE | AIC | SC | HQ |
0 | 19461.84 | NA | 4.93E−12 | −17.5226 | −17.51489* | −17.51978 |
1 | 19481.46 | 39.15822 | 4.88e−12* | −17.53216* | −17.50133 | −17.52090* |
2 | 19489.48 | 15.99536 | 4.88E−12 | −17.53128 | −17.47733 | −17.51157 |
3 | 19493.58 | 8.157574 | 4.91E−12 | −17.52686 | −17.44979 | −17.49871 |
4 | 19498.75 | 10.27769 | 4.92E−12 | −17.52341 | −17.42322 | −17.48682 |
5 | 19503.21 | 8.870064 | 4.94E−12 | −17.51933 | −17.39602 | −17.47429 |
6 | 19509.24 | 11.95334 | 4.96E−12 | −17.51665 | −17.37022 | −17.46317 |
7 | 19518.17 | 17.66735 | 4.96E−12 | −17.51658 | −17.34703 | −17.45466 |
8 | 19527.05 | 17.56727* | 4.96E−12 | −17.51648 | −17.3238 | −17.44611 |
Pre−Recession (June 2005-March 2009) | ||||||
Lag | LogL | LR | FPE | AIC | SC | HQ |
0 | 6009.918 | NA | 3.64E−12 | −17.82468 | −17.80459* | −17.81690* |
1 | 6022.447 | 24.90823 | 3.60e−12* | −17.83515* | −17.7548 | −17.80404 |
2 | 6028.257 | 11.50053 | 3.64E−12 | −17.82569 | −17.68507 | −17.77124 |
3 | 6034.598 | 12.49234 | 3.67E−12 | −17.8178 | −17.61691 | −17.74001 |
4 | 6039.893 | 10.38598 | 3.71E−12 | −17.8068 | −17.54565 | −17.70568 |
5 | 6050.739 | 21.17720* | 3.69E−12 | −17.81228 | −17.49086 | −17.68782 |
6 | 6053.469 | 5.307167 | 3.76E−12 | −17.79368 | −17.412 | −17.64588 |
7 | 6059.389 | 11.45233 | 3.79E−12 | −17.78454 | −17.34259 | −17.6134 |
8 | 6064.09 | 9.05392 | 3.84E−12 | −17.77178 | −17.26957 | −17.57731 |
Recession (April 2008-March 2011) | ||||||
Lag | LogL | LR | FPE | AIC | SC | HQ |
0 | 6037.15 | NA | 1.30E−11 | −16.55459 | −16.5357 | −16.5473 |
1 | 6138.186 | 200.9629 | 1.01E−11 | −16.80709 | −16.73151 | −16.77793 |
2 | 6255.72 | 232.8126 | 7.48E−12 | −17.10486 | −16.97259 | −17.05382 |
3 | 6289.799 | 67.22148 | 6.98E−12 | −17.17366 | 16.98470* | −17.10075* |
4 | 6302.442 | 24.83505 | 6.92E−12 | −17.18365 | −16.93801 | −17.08888 |
5 | 6315.85 | 26.22857 | 6.83E−12 | −17.19575 | −16.89342 | −17.0791 |
6 | 6329.766 | 27.10582 | 6.74E−12 | −17.20923 | −16.85021 | −17.07071 |
7 | 6343.065 | 25.79614* | 6.66e−12* | 17.22103* | −16.80532 | −17.06064 |
8 | 6350.186 | 13.75242 | 6.70E−12 | −17.21587 | −16.74348 | −17.03361 |