Variance decomposition of VIX: | |||
Period | S.E. | VIX | KFSI |
1 | 3.664203 | 95.22557 | 4.774434 |
2 | 4.040307 | 89.33208 | 10.66792 |
3 | 4.189396 | 84.30112 | 15.69888 |
4 | 4.281751 | 80.78698 | 19.21302 |
5 | 4.343748 | 78.49734 | 21.50266 |
6 | 4.385067 | 77.03337 | 22.96663 |
7 | 4.412249 | 76.09917 | 23.90083 |
8 | 4.429988 | 75.50146 | 24.49854 |
9 | 4.441517 | 75.11777 | 24.88223 |
10 | 4.448995 | 74.87079 | 25.12921 |
Variance decomposition of KFSI: | |||
Period | S.E. | VIX | KFSI |
1 | 0.202262 | 0.000000 | 100.0000 |
2 | 0.261731 | 0.179368 | 99.82063 |
3 | 0.294616 | 0.347672 | 99.65233 |
4 | 0.314324 | 0.464999 | 99.53500 |
5 | 0.326534 | 0.540785 | 99.45922 |
6 | 0.334233 | 0.588720 | 99.41128 |
7 | 0.339137 | 0.618964 | 99.38104 |
8 | 0.342280 | 0.638117 | 99.36188 |
9 | 0.344302 | 0.650309 | 99.34969 |
10 | 0.345607 | 0.658107 | 99.34189 |