Variance Decomposition of LMARKET | ||||
Period | S.E | LMARKET | LNPRICE | LNVENUES |
1 | 0.636712 | 100.000 (0.000) | 0.000 (0.000) | 0.000 (0.000) |
2 | 0.950968 | 99.542 (0.601) | 0.069 (0.291) | 0.387 (0.464) |
3 | 1.175901 | 99.226 (0.974) | 0.054 (0.345) | 0.718 (0.867) |
4 | 1.352321 | 98.892 (1.226) | 0.050 (0.340) | 1.057 (1.185) |
5 | 1.498528 | 98.452 (1.457) | 0.097 (0.394) | 1.450 (1.462) |
6 | 1.624017 | 97.890 (1.733) | 0.204 (0.549) | 1.904 (1.731) |
7 | 1.734433 | 97.208 (2.086) | 0.374 (0.786) | 2.417 (2.010) |
8 | 1.833470 | 96.409 (2.529) | 0.606 (1.080) | 2.983 (2.307) |
9 | 1.923699 | 95.500 (3.056) | 0.899 (1.416) | 3.599 (2.623) |
10 | 2.006996 | 94.488 (3.656) | 1.250 (1.784) | 4.261 (2.959) |