05-13-2017 05:09 PM
I am running Granger causality tests using Proc Varmax for the three volatility variables pertaining to three related financial securities.
My objective is to determine which one leads the volatility process. (leaders and determining followers)
In this sense, in some instances, i find some two-way relationships. As said, my objective is to understand the one which determines the others. How to interpret the strength of the relationship?
thanks in advance for your response