April sample

virtual variable

intraday effect period

coefficient

p

July sample

intraday effect period

coefficient

p

h₃₅

13:50 - 13:55

−5.248

0.001

13:50 - 13:55

5.6262

0.0288

h₃₂

13:35 - 13:40

−4.849

0.004

13:35 - 13:40

7.1880

0.0067

h₄₀

14:15 - 14:20

−4.606

0.004

14:15 - 14:20

4.8469

0.0405

h₃₃

13:40 - 13:45

−3.693

0.028

13:40 - 13:45

10.485

0.0000

h₂₉

13:20 - 13:25

−3.595

0.034

13:20 - 13:25

6.5375

0.0158

h₄₁

14:20 - 14:25

−3.204

0.041

14:20 - 14:25

5.3476

0.0207

h₃₇

14:00 - 14:05

−3.173

0.055

14:00 - 14:05

7.229

0.0038