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1======================================================================2GRANGER CAUSALITY & VAR ANALYSIS3======================================================================45--- A. GRANGER CAUSALITY TESTS ---6 ATM_IV → RV : F= 62.381, p=0.0000, 100.0% sig ***7 RV → ATM_IV : F= 17.933, p=0.1501, 60.9% sig 8 Skew → RV : F= 20.792, p=0.0177, 94.2% sig **9 RV → Skew : F= 6.589, p=0.0628, 75.4% sig *10 ATM_IV → Return : F= 1.799, p=0.2688, 24.6% sig 11 Return → ATM_IV : F= 3.977, p=0.1741, 58.0% sig 12 Skew → Return : F= 1.412, p=0.3817, 13.0% sig 13 Return → Skew : F= 13.576, p=0.0133, 95.7% sig **14 PC_Ratio → Return : F= 1.010, p=0.4999, 5.8% sig 15 Return → PC_Ratio : F= 2.819, p=0.1638, 46.4% sig 16 Impl_Skew → RV : F= 1.343, p=0.3856, 17.4% sig 17 Impl_Kurt → RV : F= 5.619, p=0.0861, 75.4% sig *1819--- B. BIVARIATE VAR: IV_ATM ↔ RV (pooled) ---2021 VAR estimated for 20 tickers22 Avg R² (IV equation): 0.936323 Avg R² (RV equation): 0.397724 Avg contemporaneous residual correlation: 0.19792526 Average Impulse Response Function:27 h IV→IV RV→IV IV→RV RV→RV28 0 1.0000 0.0000 0.0000 1.000029 2 0.8923 -0.0485 0.6683 0.141030 4 0.8046 -0.0417 0.5105 0.103831 6 0.7625 -0.0415 0.4224 0.059732 8 0.7212 -0.0397 0.3869 0.029533 10 0.6819 -0.0375 0.3534 0.012734 12 0.6455 -0.0354 0.3296 0.001835 14 0.6114 -0.0332 0.3088 -0.004036 16 0.5795 -0.0312 0.2907 -0.007337 18 0.5496 -0.0292 0.2747 -0.00903839--- C. FORECAST ERROR VARIANCE DECOMPOSITION (orthogonalized) ---40 horizon fevd_rv_by_iv_rvfirst fevd_rv_by_iv_ivfirst fevd_iv_by_rv_rvfirst fevd_iv_by_rv_ivfirst41 1 0.00 4.68 4.68 0.0042 2 3.65 10.02 4.49 2.2143 3 7.06 14.26 4.41 3.1744 4 9.05 16.81 4.45 3.7345 5 10.66 18.78 4.55 4.0946 6 11.66 20.05 4.52 4.2847 7 12.70 21.22 4.53 4.4648 8 13.64 22.24 4.53 4.6149 9 14.48 23.12 4.54 4.7450 10 15.24 23.89 4.55 4.8551 11 15.92 24.57 4.55 4.9452 12 16.55 25.18 4.56 5.0253 13 17.13 25.73 4.56 5.0954 14 17.66 26.23 4.57 5.1555 15 18.16 26.69 4.57 5.2056 16 18.61 27.11 4.57 5.2557 17 19.04 27.50 4.58 5.2958 18 19.44 27.86 4.58 5.3359 19 19.81 28.19 4.58 5.3660 20 20.16 28.50 4.58 5.396162GRANGER CAUSALITY & VAR ANALYSIS COMPLETE.63real 2,7264user 2,6265sys 0,3366