Holding period

k = 1

k = 2

k = 3

k = 6

k = 9

k = 12

Original signal

0.001553

(0.1451)

0.000230

(0.8156)

0.000647

(0.5173)

0.003194

(0.0123**)

0.003370

(0.0100**)

0.003185

(0.0132**)

High

frequency signal

−0.000839

(0.6925)

−0.001623

(0.4534)

−0.000194

(0.9266)

0.005685

(0.0349**)

0.004602

(0.0692*)

0.003408

(0.1491)

Low

frequency signal

0.003081

(0.1077)

0.001977

(0.2930)

0.004163

(0.0348**)

0.008101

(0.0004***)

0.014627

(0.0000***)

0.017103

(0.0000***)

Residual signal

0.002314

(0.1668)

0.000056

(0.9733)

−0.001298

(0.4360)

−0.001105

(0.5072)

−0.003049

(0.0703*)

−0.003316

(0.0495**)