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