Holding period

k = 1

k = 2

k = 3

k = 6

k = 9

k = 12

Original

signal

0.000034

(0.5250)

−0.000003

(0.9592)

−0.000047

(0.4786)

0.000009

(0.9149)

0.000053

(0.5656)

0.000043

(0.5725)

0.000004

(0.2489)

0.000006

(0.1732)

0.000004

(0.4242)

0.000009

(0.3178)

0.000008

(0.1797)

0.000006

(0.3173)

High

frequency signal

−0.000111

(0.0661^*)

−0.000226

(0.0164^**)

−0.000553

(0.0000^***)

−0.000252

(0.0280^**)

−0.000042

(0.7185)

−0.000059

(0.5426)

−0.000003

(0.5481)

−0.000004

(0.4267)

0.000004

(0.5043)

0.000001

(0.8791)

−0.000004

(0.3375)

0.000006

(0.4116)

Low

frequency signal

0.000096

(0.1886)

0.000058

(0.5320)

0.000059

(0.5389)

−0.000020

(0.8638)

−0.000097

(0.4203)

−0.000026

(0.8676)

0.000004

(0.1978)

0.000006

(0.2288)

0.000004

(0.3345)

0.000008

(0.2070)

0.000007

(0.0763^*)

0.000005

(0.3099)

Residual signal

−0.000007

(0.9109)

0.000011

(0.8880)

0.000016

(0.8430)

0.000028

(0.7719)

0.000043

(0.6342)

0.000042

(0.6648)

0.000003

(0.3554)

0.000005

(0.0726^*)

0.000006

(0.3532)

0.000005

(0.3110)

0.000004

(0.3183)

0.000004

(0.5084)