Table 21 Granger-test on stop-loss orders-to-volatility at run length > 8
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 > 8 |  |  |  |  |
1 | 14.38607 | 0.00017 | 0.21663 | REJECT the null hypothesis at 1% |
2 | 7.88797 | 0.00043 | 0.27396 | REJECT the null hypothesis at 1% |
3 | 6.53369 | 0.00025 | 0.30157 | REJECT the null hypothesis at 1% |
4 | 3.34332 | 0.01030 | 0.33745 | REJECT the null hypothesis at 1% |