spb/wp47_uqo

1\begin{table}[tp]\centering\footnotesize2\caption{Connectedness of factor changes (five-minute VAR) and of factor volatilities (daily HAR-VAR)}3\label{tab:connect}4\resizebox{\textwidth}{!}{%5\begin{tabular}{llcccccc}6\toprule7\multicolumn{8}{l}{\textit{Panel A: five-minute factor changes, US hours (08:00--16:00~ET), generalized FEVD at 12 steps (one hour)}} \\8\midrule9Period & $p$ & $n$ & \multicolumn{3}{c}{From others (\%)} & Total & Impact corr. \\10 & & & Short rate & Level & Curvature & (\%) & (SR,L / SR,C / L,C) \\11\midrule122011--2026 & 6 & 363,335 & 13.7 & 2.3 & 14.7 & 10.3 & $-$0.10 / $-$0.40 / $-$0.12 \\132011--2015 & 6 & 113,551 & 27.0 & 16.6 & 35.2 & 26.2 & $-$0.13 / $-$0.60 / $-$0.42 \\142016--2019 & 6 & 92,485 & 41.8 & 8.4 & 39.1 & 29.8 & $-$0.30 / $-$0.80 / $-$0.04 \\152020--2021 & 6 & 46,015 & 30.1 & 17.1 & 40.0 & 29.1 & 0.02 / $-$0.67 / $-$0.45 \\162022--2026 & 6 & 111,284 & 4.4 & 1.4 & 5.5 & 3.8 & $-$0.06 / $-$0.22 / 0.10 \\17\midrule18\multicolumn{8}{l}{\textit{Panel B: daily log realized variances (five-minute sampling), 2011--2026, generalized FEVD at 10 days}} \\19\midrule20 & & & Level & Slope & Curvature & Total & \\21\midrule22Share of Level variance due to & & & 40.6 & 39.2 & 20.2 & & \\23Share of Slope variance due to & & & 39.3 & 39.7 & 21.0 & & \\24Share of Curvature variance due to & & & 24.3 & 25.3 & 50.3 & & \\25To others & & & 63.6 & 64.5 & 41.2 & 56.5 & \\26Net & & & 4.2 & 4.2 & $-$8.5 & & \\27\bottomrule28\end{tabular}}29\begin{minipage}{\textwidth}\footnotesize30\textit{Notes:} Panel A: VAR($p$) on five-minute changes (bp) in the short rate ($\Delta L+\Delta S$), the level and the curvature, estimated on within-day observations only (no lags across days), lag order by BIC (maximum 6); ``from others'' is the share of the 12-step generalized forecast-error variance of each variable due to shocks to the other two \citep{pesaran1998generalized,diebold2012better}; ``Total'' is the Diebold--Yilmaz total connectedness index; the last column gives the contemporaneous residual correlations. Panel B: VAR(5) on the daily log realized variances of the three factors ($n=3,958$), 10-day generalized FEVD; rows give the decomposition of each variable's forecast-error variance, ``To others'' the column sums excluding own shares, ``Net'' to-minus-from. Rolling 250-day estimates are in Figure~\ref{fig:connect}. No standard errors are reported.31\end{minipage}32\end{table}