Fig. 5.

Tests for Granger causality running from GOLD to WTI

Notes: Tests for Granger causality running from daily gold to WTI returns are from January 4, 2010, to May 4, 2020.

The solid line is the test statistic sequence. The blue discontinue line is the 5% critical value sequence.

The shaded areas are the causality episode i.e. the periods where the test statistic exceeds its 95% boostraped critical value.

The first, second and third rows show the sequences of test statistics obtained from the forward recursive test of Thoma (1994), rolling window test of Swanson (1998) and recursive evolving test of Shi et al. (2018) respectively. The columns of Figs. 4 and 5 refer to the homoscedasticity and heteroskedasticity assumption of the residual of the VAR(1) model.