Table 3 The results of granger causality tests
Granger causality test | |
Lag parameter | P = 8 |
Granger causality index | GCI = 0.0211 |
F-test value | 3.6602 |
F-test P-value | 0.0003 |
5% critical value of risk | 2.032 |
Nonlinear Granger causality test results | |
Lag parameter | P = 8 |
Granger causality index | GCI = 0.0782 |
F-test value | 107.226 |
F-test P-value | 3.27606e-24 |
5% critical value of risk | 3.936 |