Table 7 Granger causality test results.
Variable | Null hypotheses | Chi2 | df | P-value | Result |
|---|---|---|---|---|---|
D (Uncertainty) | NCSKEW is not a Granger cause of Uncertainty | 0.711 | 1 | 0.399 | Not Rejected |
Attention is not a Granger cause of Uncertainty | 176.969 | 1 | 0.000 | Reject | |
D (NCSKEW) | Uncertainty is not a Granger cause of NCSKEW | 0.391 | 1 | 0.532 | Not Rejected |
Attention is not a Granger cause of NCSKEW | 6.058 | 1 | 0.014 | Reject | |
D (Attention) | Uncertainty is not a Granger cause of Attention | 58.428 | 1 | 0.000 | Reject |
NCSKEW is not a Granger cause of Attention | 114.461 | 1 | 0.000 | Reject |
