|
| VAR (1) matrix | ||||
|
| PC1 | PC2 | PC3 | PC4 | PC5 |
| PC1 | 0.98 | −0.11 | −0.58 | 0.92 | 0.67 |
| PC2 | 0.01 | 0.89 | −0.58 | −0.02 | −0.85 |
(t+1) | PC3 | 0.00 | −0.01 | 0.71 | 0.20 | −0.41 |
| PC4 | 0.00 | 0.00 | 0.02 | 0.78 | 0.19 |
| PC5 | 0.00 | 0.00 | −0.01 | 0.09 | 0.64 |