Table 8 Granger-causality test on volatility at 10–2 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 1/100Â s | Â | Â | Â | Â |
1 | 3.01818 | 0.08237 | 0.02048 | CANNOT reject the null hypothesis at 5% |
2 | 4.72813 | 0.00886 | 0.02682 | REJECT the null hypothesis at 1% |
3 | 4.37457 | 0.00439 | 0.03174 | REJECT the null hypothesis at 1% |
4 | 3.45788 | 0.00788 | 0.03307 | REJECT the null hypothesis at 1% |