Granger-causality regressions
| Daily | 30-minute | ||
|---|---|---|---|
| 2-month on 1-month ICE Futures | 2-month on 1-month ICE Futures | ||
| Variable | Rco1(t) | Variable | Rco1(t) |
| Estimate | 0.96429 | Estimate | 0.96174 |
| SD | 0.00361 | SD | 0.0013 |
| t-value | 266.89 | t-value | 742.05 |
| Pr>|t| | 0.0001 | Pr>|t| | 0.0001 |
| 1-month on 2-month ICE Futures | 1-month on 2-month ICE Futures | ||
| Variable | Rco2(t) | Variable | Rco2(t) |
| Estimate | 1.02433 | Estimate | 0.96918 |
| SD | 0.00384 | SD | 0.00131 |
| t-value | 266.95 | t-value | 739.73 |
| Pr>|t| | 0.0001 | Pr>|t| | 0.0001 |
| 3-month on 1-month ICE Futures | 3-month on 1-month ICE Futures | ||
| Variable | Rco1(t) | Variable | Rco1(t) |
| Estimate | 0.94412 | Estimate | 0.94544 |
| SD | 0.00486 | SD | 0.00218 |
| t-value | 194.27 | t-value | 433.19 |
| Pr>|t| | 0.0001 | Pr>|t| | 0.0001 |
| 1-month on 3-month ICE Futures | 1-month on 3-month ICE Futures | ||
| Variable | Rco3(t) | Variable | Rco3(t) |
| Estimate | 1.03491 | Estimate | 0.90207 |
| SD | 0.00533 | SD | 0.00208 |
| t-value | 194.27 | t-value | 433.57 |
| Pr>|t| | 0.0001 | Pr>|t| | 0.0001 |
| 3-month on 2-month ICE Futures | 3-month on 2-month ICE Futures | ||
| Variable | Rco2(t) | Variable | Rco2(t) |
| Estimate | 0.98368 | Estimate | 0.96985 |
| SD | 0.0018 | SD | 0.00191 |
| t-value | 547.43 | t-value | 506.94 |
| Pr>|t| | 0.0001 | Pr>|t| | 0.0001 |
| 2-month on 3-month ICE Futures | 2-month on 3-month ICE Futures | ||
| Variable | Rco3(t) | Variable | Rco3(t) |
| Estimate | 1.01353 | Estimate | 0.91364 |
| SD | 0.00185 | SD | 0.0018 |
| t-value | 548.55 | t-value | 507.14 |
| Pr>|t| | 0.0001 | Pr>|t| | 0.0001 |
| Daily | 30-minute | ||
|---|---|---|---|
| Variable | Rco1( | Variable | Rco1( |
| Estimate | 0.96429 | Estimate | 0.96174 |
| SD | 0.00361 | SD | 0.0013 |
| 266.89 | 742.05 | ||
| Pr>| | 0.0001 | Pr>| | 0.0001 |
| Variable | Rco2( | Variable | Rco2( |
| Estimate | 1.02433 | Estimate | 0.96918 |
| SD | 0.00384 | SD | 0.00131 |
| 266.95 | 739.73 | ||
| Pr>| | 0.0001 | Pr>| | 0.0001 |
| Variable | Rco1( | Variable | Rco1( |
| Estimate | 0.94412 | Estimate | 0.94544 |
| SD | 0.00486 | SD | 0.00218 |
| 194.27 | 433.19 | ||
| Pr>| | 0.0001 | Pr>| | 0.0001 |
| Variable | Rco3( | Variable | Rco3( |
| Estimate | 1.03491 | Estimate | 0.90207 |
| SD | 0.00533 | SD | 0.00208 |
| 194.27 | 433.57 | ||
| Pr>| | 0.0001 | Pr>| | 0.0001 |
| Variable | Rco2( | Variable | Rco2( |
| Estimate | 0.98368 | Estimate | 0.96985 |
| SD | 0.0018 | SD | 0.00191 |
| 547.43 | 506.94 | ||
| Pr>| | 0.0001 | Pr>| | 0.0001 |
| Variable | Rco3( | Variable | Rco3( |
| Estimate | 1.01353 | Estimate | 0.91364 |
| SD | 0.00185 | SD | 0.0018 |
| 548.55 | 507.14 | ||
| Pr>| | 0.0001 | Pr>| | 0.0001 |
Notes: The contemporaneous explanatory variable is reported in the table. The lags of the returns are not reported because there is no uniform pattern of significance in the regressions; rather the significance of the lagged explanatory variables is spurious and when significant, it is generally barely borderline significant at the 5 percent significance level
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