Table 4-4.TYDL VAR(p) Lag Length for Own Country Volatility Models.

V D TYDL
Bilateral Bilateral
Exports OI OI OI OI A M VA
GDP Exchange Exchange Rate AICc
(Models) Exp GDP ER VO R A R
Rates Volatility
(k) X (p)
LAGExp_BR I(3) LGDP I(0) L_BRL_USD I(2) STD_L_BRL_USD I(0) 5 -23.16 3 8
LExp_BR I(3) LGDP I(0) L_BRL_USD I(2) STD_L_BRL_USD I(0) 6 -23.41 3 9
LRAGExp_BR I(3) LRGDP I(3) LR_BRL_USD I(2) STD_LR_BRL_USD I(0) 6 -23.81 3 9
LRExp_BR I(3) LRGDP I(3) LR_BRL_USD I(2) STD_LR_BRL_USD I(0) 6 -23.90 3 9
LAGExp_CN I(3) LGDP I(0) L_CNY_USD I(2) STD_L_CNY_USD I(0) 5 -28.74 3 8
LExp_CN I(3) LGDP I(0) L_CNY_USD I(2) STD_L_CNY_USD I(0) 5 -29.08 3 8
LRAGExp_CN I(3) LRGDP I(3) LR_CNY_USD I(1) STD_LR_CNY_USD I(0) 5 -29.66 3 8
LRExp_CN I(3) LRGDP I(3) LR_CNY_USD I(1) STD_LR_CNY_USD I(0) 5 -30.08 3 8
LAGExp_HN I(3) LGDP I(0) L_HNL_USD I(1) STD_L_HNL_USD I(0) 5 -32.89 3 8
LExp_HN I(3) LGDP I(0) L_HNL_USD I(1) STD_L_HNL_USD I(0) 5 -33.89 3 8
LRAGExp_HN I(3) LRGDP I(3) LR_HNL_USD I(1) STD_LR_HNL_USD I(0) 5 -30.17 3 8
LRExp_HN I(1) LRGDP I(3) LR_HNL_USD I(1) STD_LR_HNL_USD I(0) 5 -31.24 3 8
LAGExp_IN I(3) LGDP I(0) L_INR_USD I(2) STD_L_INR_USD I(0) 5 -27.67 3 8
LExp_IN I(3) LGDP I(0) L_INR_USD I(2) STD_L_INR_USD I(0) 5 -28.15 3 8
LRAGExp_IN I(3) LRGDP I(3) LR_INR_USD I(1) STD_LR_INR_USD I(0) 6 -29.38 3 9
LRExp_IN I(3) LRGDP I(3) LR_INR_USD I(1) STD_LR_INR_USD I(0) 6 -30.02 3 9
LAGExp_RU I(3) LGDP I(0) L_RUB_USD I(1) STD_L_RUB_USD I(0) 5 -24.01 3 8
LExp_RU I(3) LGDP I(0) L_RUB_USD I(1) STD_L_RUB_USD I(0) 5 -25.53 3 8
LRAGExp_RU I(2) LRGDP I(3) LR_RUB_USD I(2) STD_LR_RUB_USD I(0) 5 -24.10 3 8
LRExp_RU I(2) LRGDP I(3) LR_RUB_USD I(2) STD_LR_RUB_USD I(0) 5 -25.42 3 8
LAGExp_SA I(3) LGDP I(0) L_ZAR_USD I(1) STD_L_ZAR_USD I(0) 5 -25.04 3 8
LExp_SA I(3) LGDP I(0) L_ZAR_USD I(1) STD_L_ZAR_USD I(0) 5 -25.52 3 8
LRAGExp_SA I(3) LRGDP I(3) LR_ZAR_USD I(1) STD_LR_ZAR_USD I(0) 5 -27.10 3 8
LRExp_SA I(3) LRGDP I(3) LR_ZAR_USD I(1) STD_LR_ZAR_USD I(0) 5 -27.79 3 8

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