Fig. 33: Compare forecast price and actual price of share VPB. Source: The authors’ analysis. Full size image Fig. 34: Compare forecast price and actual price of share VRE. Source: The authors’ analysis. Full size image Fig. 35: Compare forecast price and actual price of share VCB. ...
We defined macroeconomic uncertainty as the unforecastable component of output and inflation. We constructed the EAU and IU indices ourselves using a time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model. J. Risk Financial Manag. 2019, 12, 5; doi:10.3390/jrfm12010005 www...