Interest Rate Swap Market Complexity and Its Risk Management Implications

Table 10

The results of the bivariate Granger causality test for Eurodollar futures volatility and interest rate swap volatility.

Null hypothesis	F-stats	Lag order	value
Eurodollar futures vol. does not Granger-cause HnL swap rate vol.	0.927	3	0.427
HnL swap rate vol. does not Granger-cause Eurodollar futures vol.	1.037	3	0.375
Eurodollar futures vol. does not Granger-cause GnK swap rate vol.	0.688	3	0.559
GnK swap rate vol. does not Granger-cause Eurodollar futures vol.	1.064	3	0.364

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