Wavelet based Granger causality

[Maneesha Singh]

Respected sir, and mam

In an analysis, I have found significant bi-directional  Granger causality for all the quantiles between two variables.

However, the Granger causality between both the variables at middle (0.05) quantiles for every decomposed series is not significant. The time series data is from 2007-2022. What can be the technical reason for this type of variation. Does it lie in the specific events that may have occurred or otherwise. 

I am new to time series analysis. Will be thankful for corrections and suggestions.

Regards

Maneesha Singh

Research scholar

MNNIT

[Miklesh Yadav]

Dear Maneesha, 

It is not necessary that it will be significant. Another aspect is you are saying 0.05 as middle Quantile, this is lower Quantile not middle (middle Quantile means 0.5).

It is evident that market nature (bullish, bearish and normal) affects causality but this is not only factor to comprehend causality. Better to mention assets class/market which you are talking about. 

Regards

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[Maneesha Singh]

Respected sir,

Thank you for your observation.

Sir, it is 0.5. i have attached the picture with this mail.

If you can please guide regarding how these results should be interpreted.

The data is of two indexes related to clean energy.

Thanks and regards

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[Miklesh Yadav]

If you go through that paper, you better understand the reason behind it. Researchers have in depth understanding commensurately due to which they can easily comprehend. We may guide to the great extent in statistical analysis except our research domain. Neither we have idea about proxies of clean energy nor the title of this paper. 

Regards

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[Maneesha Singh]

Sir, the researchers have not mentioned any reason for it. They just used two market indices called ESGL and GCEI and tested bi-directional Granger causality. 

However, thank you for your time and suggestion.

Thanks and Regards

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