Table 27 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 | 0.55911 | 0.45500 | 0.00000 | CANNOT reject the null hypothesis at 25% |
2 | 0.51377 | 0.59858 | 0.00000 | CANNOT reject the null hypothesis at 25% |
3 | 0.57382 | 0.63247 | 0.00000 | CANNOT reject the null hypothesis at 25% |
4 | 0.37309 | 0.82785 | 0.00000 | CANNOT reject the null hypothesis at 25% |