Interest Rate Swap Market Complexity and Its Risk Management Implications

Table 12

The results of the bivariate Granger causality test for each pair of the Eurodollar futures volatility and complexity.

Null hypothesis	F-stats	Lag order	value
MacArthur complex. doesn’t Granger-cause H\ Eurodollar futures vol.	1.604	3	0.187
H\ Eurodollar futures vol. does not Granger-cause MacArthur complex.	0.483	3	0.694
MacArthur complex. doesn’t Granger-cause GnK Eurodollar futures vol.	1.522	3	0.208
GnK Eurodollar futures vol. does not Granger-cause MacArthur complex.	0.584	3	0.626
AMI complexity does not Granger-cause H\L Eurodollar futures vol.	0.381	3	0.766
H\L Eurodollar futures vol. does not Granger-cause AMI complexity	0.186	3	0.906
HC complexity does not Granger-cause H\L Eurodollar futures vol.	0.961	3	0.410
H\L Eurodollar futures vol. does not Granger-cause HC complexity	0.449	3	0.718
AMI complexity does not Granger-cause GnK Eurodollar futures vol.	0.303	3	0.823
GnK Eurodollar futures vol. does not Granger-cause AMI complexity	0.523	3	0.667
HC complexity does not Granger-cause GnK Eurodollar futures vol.	0.939	3	0.421
GnK Eurodollar futures vol. does not Granger-cause HC complexity	0.785	3	0.503

Note: significance level code: 0.01 “,” 0.05 “,” and 0.1 “.”