Table 17 Granger-causality test on quantity exchanged-to-volatility
From: A theory of very short-time price change: security price drivers in times of high-frequency trading
Lag | F-value | p-value | Adj. R2 | Null hypothesis of NO Granger causation |
|---|---|---|---|---|
Quantity → volatility |  |  |  |  |
1 | 21.06322 | 0.00000 | 0.01453 | REJECT the null hypothesis at 1% |
2 | 12.93685 | 0.00000 | 0.01871 | REJECT the null hypothesis at 1% |
3 | 10.66973 | 0.00000 | 0.01989 | REJECT the null hypothesis at 1% |
4 | 9.04931 | 0.00000 | 0.02146 | REJECT the null hypothesis at 1% |