Table 18 Granger-causality test on volatility-to-quantity exchanged
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 | 14.83718 | 0.00012 | 0.01453 | REJECT the null hypothesis at 1% |
2 | 9.34719 | 0.00009 | 0.01871 | REJECT the null hypothesis at 1% |
3 | 7.35734 | 0.00006 | 0.01989 | REJECT the null hypothesis at 1% |
4 | 5.53375 | 0.02154 | 0.02146 | REJECT the null hypothesis at 1% |