Sample

Lag

Null Hypothesis

Obs

F-Statistic

Prob.

Correction

VAR(5)

MP does not Granger Cause VOL

1039

2.14167

0.0584

VOL does not Granger Cause MP

1.73672

0.1234

SS does not Granger Cause VOL

1039

1.95723

0.0825

VOL does not Granger Cause SS

0.20339

0.9611

Boom

VAR(5)

MP does not Granger Cause VOL

215

1.28445

0.2719

VOL does not Granger Cause MP

2.51559

0.031

SS does not Granger Cause VOL

215

1.34879

0.2453

VOL does not Granger Cause SS

0.77253

0.5705

Depression

VAR(3)

MP does not Granger Cause VOL

77

6.45807

0.0006

VOL does not Granger Cause MP

4.88383

0.0039

SS does not Granger Cause VOL

77

1.84705

0.1466

VOL does not Granger Cause SS

4.99726

0.0034