Granger causality between Futures and Spot prices
Posted: Wed Aug 25, 2010 4:56 am
Hello,
I want to test the granger causality between Futures and Spot prices on gold
I have all data on Bloomberg: Spot, futures at all maturity but I am not sure which data should be input.
for example If I input historical spot prices lets say from March 2010 to may 2010 in the first column and
Gold future price from March 2010 to may 2010 Maturity at May 2010 in the second one
Will this give me the right analysis?
Thank you in advance
I want to test the granger causality between Futures and Spot prices on gold
I have all data on Bloomberg: Spot, futures at all maturity but I am not sure which data should be input.
for example If I input historical spot prices lets say from March 2010 to may 2010 in the first column and
Gold future price from March 2010 to may 2010 Maturity at May 2010 in the second one
Will this give me the right analysis?
Thank you in advance