Table 7 Granger-causality test on volatility at 10–3 s
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 |
|---|---|---|---|---|
Volatility at 1/1000Â s | Â | Â | Â | Â |
1 | 1.14118 | 0.28541 | 0.00166 | CANNOT reject at 25% |
2 | 1.36304 | 0.25589 | 0.00294 | CANNOT reject at 25% |
3 | 1.29382 | 0.27456 | 0.00761 | CANNOT reject at 25% |
4 | 0.97760 | 0.41828 | 0.00759 | CANNOT reject at 25% |
5 | 0.79484 | 0.55314 | 0.00837 | CANNOT reject at 25% |
6 | 1.60233 | 0.14189 | 0.00871 | CANNOT reject at 25% |
7 | 1.44409 | 0.18252 | 0.00925 | CANNOT reject at 25% |
8 | 5.88033 | 0.00000 | 0.00985 | REJECT at 1% |