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Table 19 Granger-test on stop-loss orders-to-volatility at run length > 10

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

Stop-loss assumed at run length > 10

    

1

14.44016

0.00017

0.21697

REJECT the null hypothesis at 1%

2

7.94687

0.00042

0.26988

REJECT the null hypothesis at 1%

3

5.45041

0.00112

0.28749

REJECT the null hypothesis at 1%

4

2.76547

0.02736

0.32958

REJECT the null hypothesis at 1%