Quantifying Information Flows among Developed and Emerging Equity Markets
Table 2
Description of IMFs and residuals for the volatility changes.
Index
IMF 1
IMF 2
IMF 3
IMF 4
IMF 5
IMF6
IMF 7
Residual
⊿VXEWZ
µ
2.858
4.975
6.948
12.594
22.389
40.3
57.57
ρ
0.7547
0.3728
0.4195
0.3135
0.1687
0.1278
0.0444
0.0729
0.6573
0.1222
0.0652
0.047
0.0814
0.0275
0.0023
0.0235
0.6573
0.1222
0.0652
0.047
0.0814
0.0275
0.0023
0.0235
⊿RVI
µ
2.7793
4.9753
6.6066
11.85
21.2105
40.3
67.167
ρ
0.7461
0.4881
0.3450
0.3404
0.2244
0.2103
0.1277
0.0216
0.6274
0.0994
0.0529
0.0746
0.0197
0.0315
0.0079
0.0148
0.6274
0.0994
0.0529
0.0746
0.0197
0.0315
0.0079
0.0148
⊿NIFVIX
µ
2.9416
4.7976
7.1964
12.2121
22.3889
33.583
80.6
ρ
0.7183
0.4726
0.3698
0.2578
0.2232
0.1904
0.1507
0.1233
0.5931
0.0876
0.0607
0.0672
0.1453
0.0080
0.0108
0.0636
0.5931
0.0876
0.0607
0.0672
0.1453
0.0080
0.0108
0.0636
⊿VXFXI
µ
2.723
4.7411
6.397
13.433
22.389
36.636
57.57
ρ
0.8242
0.4231
0.283
0.2058
0.0855
0.0636
0.0398
0.0403
0.7392
0.1393
0.0555
0.0415
0.0305
0.0078
0.0014
0.0045
0.7392
0.1393
0.0555
0.0415
0.0305
0.0078
0.0014
0.0045
⊿VXEEM
µ
2.723
4.915
6.106
11.853
22.389
44.778
67.167
ρ
0.7281
0.3901
0.2953
0.1690
0.0872
0.0740
0.0153
0.0371
0.8295
0.2227
0.0957
0.0428
0.0345
0.0063
0.0052
0.0076
0.8295
0.2227
0.0957
0.0428
0.0345
0.0063
0.0052
0.0076
⊿VXEFA
µ
2.687
4.914
6.948
12.594
23.706
36.636
100.75
ρ
0.7999
0.4063
0.3088
0.195
0.0753
0.0975
0.0357
0.0431
0.7497
0.1596
0.0631
0.0318
0.0427
0.0154
0.0031
0.0050
0.7497
0.1596
0.0631
0.0318
0.0427
0.0154
0.0031
0.0050
⊿VIX
µ
2.760
4.8552
6.3968
13.0
21.2105
44.7778
80.6
ρ
0.7449
0.4396
0.3914
0.2030
0.1155
0.1319
0.0605
0.0646
0.6539
0.1407
0.0673
0.1037
0.1169
0.0177
0.0079
0.0028
0.6539
0.1407
0.0673
0.1037
0.1169
0.0177
0.0079
0.0028
The features of the decomposed data. We report the mean period (µ) measured by the total number of points divided by number of peaks. This means that the value of the µ is indirectly related with the level of frequency. The Pearson correlation coefficients (ρ) are also reported computed as the correlation between each IMF and the original/observed volatility indices. The variance proportion of each IMF and the residue to the variance in the original data as well as the variance proportion of each IMF to the total variance in the decomposed data . The latter, should mainly corroborate with .
