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**) |