Diagonal component of variance IMT and Ratio

α t

β t 1

π t

S . D ( π t )

R n E

R n T

V E

V T

V t r

R 1

R 2

0.80

0.50

0.68

0.14

3

3

2.4323e−04

2.4817e−04

2.4979e−04

0.99

0.99

-

-

-

-

-

-

4.2714e−02

4.6277e−02

4.3906e−02

0.99

1.02

-

-

-

-

-

-

1.9446e−01

2.1171e−01

2.0659e−01

0.97

1.01

1.20

2.20

0.63

0.36

3

3

1.4666e−03

1.6904e−03

1.6126e−03

0.95

1.02

-

-

-

-

-

-

1.8138e−02

2.0199e−02

1.9872e−02

0.96

1.01

-

-

-

-

-

-

2.5199e−02

2.9136e−02

2.8595e−02

0.94

1.01