Can I use Granger causality to determine if the high prices in stock exchange data are affecting the closing prices? I am looking for an algorithm that can show whether the features in a time series data have any causal relationship. Can we use Granger causality to determine causal relationship in a multivariate time series data?


Can we use Granger causality to determine causal relationship in a multivariate time series data?

No. Granger causality is about predictive performance, not causality. For the semantics, see
https://stats.stackexchange.com/a/377569/28746 and
https://economics.stackexchange.com/a/3056/61
