The predicted 500-step ahead VIRFs (solid black line) are driven by the structural shock on March 7, 2002 in response to the Greenspan testimony to the Senate (see Table 4). The dotted black line represents the 95% pointwise asymptotic confidence intervals, the grey area denotes the 95% pointwise bootstrapped confidence intervals, and the dot-dashed blue line shows the asymptotic simultaneous confidence intervals across all VIRFs, based on a $χ2(6)$ approximation. The return system includes the S&P 500, the yield of the US constant maturity 10-year Treasury note, and the USD Index.