MVARiLexExl01_IBM_20161003 starting at 09-Nov-2018 12:42:46

MVARiLexExl01_IBM_20161003 secondFactor=1
Setting polynomials
name=p0; deg=0; n=1; kOffset=0; vNames=p0d0.
name=p1; deg=0; n=9; kOffset=1; vNames=p1d0.
Reading data for secondFactor=1 (09-Nov-2018 12:42:46)
20161003 IBM   5427 observations (4558 with nonzero price changes and 9am-5pm)
20161003 IBM   5270 observations (4443 with nonzero price changes and 9am-5pm)
20161003 IBM   4760 observations (4029 with nonzero price changes and 9am-5pm)
20161003 IBM   4717 observations (4092 with nonzero price changes and 9am-5pm)
Data read finished for IBM 20161003. secondFactor=1. Elapsed time is 6.0982 sec.
starting estimates secondFactor=1. 09-Nov-2018 12:42:52
(nbbLex nboLex nbbExl nboExl)
setValid (computing largest possible range)
      nbbLex            1 (00:00:01) to        64800 (18:00:00)
      nboLex            1 (00:00:01) to        64800 (18:00:00)
      nbbExl            1 (00:00:01) to        64800 (18:00:00)
      nboExl            1 (00:00:01) to        64800 (18:00:00)
valid range:        35100 (09:45:00) to        57600 (16:00:00)
      nbbLex       4558 total observations,       4405 in valid range.
      nboLex       4443 total observations,       4297 in valid range.
      nbbExl       4029 total observations,       3847 in valid range.
      nboExl       4092 total observations,       3936 in valid range.
eVecMeans: -0.037384  -0.0012488   -0.036546
buildzpzSparsePDLpar (nCPU=0)
Across the full for/parfor loop, the start to finish elapsed time is 20.89 sec.
VAR/VECM estimates for secondFactor=1
                 dnbbLex       t   dnboLex       t   dnbbExl       t    dnboExl        t
dnbbLexp0d0     -0.09393   -7.78   0.09847    7.77     0.037   3.306    0.03838    3.029
dnbbLexp1d0     -0.02924  -4.036   0.04963   6.525    0.0182    2.71     0.0171    2.249
dnboLexp0d0      0.05385    5.05   -0.1549  -13.83   0.02377   2.404    0.02628    2.348
dnboLexp1d0      0.02533   3.875  -0.05756  -8.387   0.00356  0.5873  -0.002932  -0.4274
dnbbExlp0d0      0.05287   4.082   0.03151   2.317  -0.07129  -5.936    0.08432    6.203
dnbbExlp1d0     0.001651  0.2192  0.002026  0.2562  -0.03452  -4.945    0.01819    2.302
dnboExlp0d0      0.03876   3.654   0.06607   5.933   0.06372   6.479   -0.07512   -6.748
dnboExlp1d0      0.01112   1.764   0.01404   2.122    0.0221   3.782   -0.02469   -3.733
nbbLex-nboLex  -0.009315  -1.219    0.1004   12.52  -0.03376  -4.766    -0.1343   -16.75
nbbLex-nbbExl     -0.121  -12.56  -0.02389  -2.362     0.136   15.23   0.005204   0.5147
nbbLex-nboExl  -0.009897  -1.264  -0.08576  -10.43  0.007165  0.9869     0.1549    18.84
eCov
           dnbbLex    dnboLex    dnbbExl    dnboExl
dnbbLex  6.296e-05  4.062e-05  4.258e-05  3.955e-05
dnboLex  4.062e-05  6.938e-05  3.779e-05   4.71e-05
dnbbExl  4.258e-05  3.779e-05  5.412e-05   3.83e-05
dnboExl  3.955e-05   4.71e-05   3.83e-05  6.933e-05
eCorr
         dnbbLex  dnboLex  dnbbExl  dnboExl
dnbbLex        1   0.6145   0.7295   0.5985
dnboLex   0.6145        1   0.6168   0.6792
dnbbExl   0.7295   0.6168        1   0.6253
dnboExl   0.5985   0.6792   0.6253        1
Estimation finished for IBM 20161003. secondFactor=1. Elapsed time is 00:21.61.
starting irf computation for secondFactor=1. 09-Nov-2018 12:43:14
irfPDLpacked (nCPU=0)
IRF computation for shock 4. Elapsed time is 0.03 seconds.
IRF computation for shock 3. Elapsed time is 0.02 seconds.
IRF computation for shock 2. Elapsed time is 0.02 seconds.
IRF computation for shock 1. Elapsed time is 0.02 seconds.
Across the full for/parfor loop, the start to finish elapsed time is 0.14 sec.
IBM 20161003 irf finished. elapsed time is 0.21 seconds.
IRF calculation finished for IBM 20161003. secondFactor=1. Elapsed time is 0.21512 sec.
Random walk decomposition for secondFactor=1. 09-Nov-2018 12:43:14
Random walk decomposition for secondFactor=1
Sum of vma coefficients:
  nbbLex  nboLex  nbbExl  nboExl
  0.2198  0.4277  0.2614  0.2388
per period var_w:    0.000063 sd_w:    0.007933
annualized var_w:  368.139458 sd_w:   19.186961
info share bounds: