Before

0.4348
0.0139
31.1917
0.0000

Close to Close
After
0.2877
0.0139
20.6368
-

Diff.
-0.1471
0.0197
-7.4634
0.0000

Before
0.4367
0.0137
31.9538
0.0000

Open to Open
After
0.2998
0.0137
21.9374
-

Intercept (r2slope)
STD ERR
T-Value
P-Value

-0.1420
0.0468
-3.0325
0.0025

0.0265
0.0468
0.5659
0.5714

0.1685
0.0662
2.5445
0.0111

-0.1945
0.0459
-4.2364
0.0000

-0.2749
0.0459
-5.9884
0.0000

Intercept (beta2slope)
STD ERR
T-Value
P-Value

1.8654
0.1794
10.3976
0.0000

1.3256
0.1794
7.3890
0.0000

-0.5398
0.1829
-2.9504
0.0032

1.5182
0.1589
9.5532
0.0000

0.1740
0.1589
1.0946
0.2737

Avg Var1
STD-DEV
t-stat
p-Value

0.0003
0.0001
16.3961
0.0000

0.0004
0.0002
14.9843
0.0000

0.0001
0.0002
3.6572
0.0006

0.0005
0.0002
15.9289
0.0000

0.0004
0.0002
16.3833
0.0000

Avg Var2
STD-DEV
t-stat
p-Value

0.0006
0.0003
16.4318
0.0000

0.0009
0.0005
12.7221
0.0000

0.0002
0.0004
3.8154
0.0004

0.0008
0.0004
14.9643
0.0000

0.0008
0.0004
16.7492
0.0000

Intercept (r2constant)
STD ERR
T-Value
P-Value

en to Open

Close to Open
After
0.4705
0.0146
32.2436
-

Diff.
-0.1369
0.0193
-7.0827
0.0000

Before
0.4394
0.0145
30.2219
-

Diff.
0.0311
0.0206
1.5144
0.1302

-0.0804
0.0649
-1.2388
0.2157

-0.1201
0.0488
-2.4582
0.0141

0.4975
0.0489
10.1664
-

0.6175
0.0691
8.9414
-

-1.3443
0.1621
-8.2953
0.0000

2.7700
0.8958
3.0921
0.0020

1.1399
0.8958
1.2725
0.2032

-1.6301
0.9135
-1.7845
0.0744

-0.0001
0.0002
-2.8969
0.0056

0.0111
0.0128
6.1303
0.0000

0.0001
0.0000
18.5542
0.0000

-0.0110
0.0128
-6.0920
0.0000

0.0000
0.0003
0.5257
0.6015

0.0223
0.0255
6.1921
0.0000

0.0005
0.0002
17.1805
0.0000

-0.0219
0.0255
-6.0694
0.0000

intercept (r2constant)
STD ERR
T-Value
P-Value
intercept (r2slope)
STD ERR
T-Value
P-Value
intercept (beta2slope)
STD ERR
T-Value
P-Value

covariances

Close to close
Before
After
Diff.
0.434840038 0.287695 -0.14714
0.013940905 0.013941 0.019715
31.19166427
-7.46343
1.46E-149
1.84E-13
-0.142002664 0.026502 0.168504
0.046827436 0.046827 0.066224
-3.032467215
2.544458
0.002488439
0.011095
1.865400669 1.325645 -0.53976
0.17940758 0.179408 0.18294
10.3975577
-2.95044
4.15E-25
0.003185

-0.00019
-0.00219
-0.01673

Avg Var1
STD-DEV
p-Value

0.000328954 0.000409
0.000141867 0.000193
<0.0001
<0.0001

Avg Var2
STD-DEV
p-Value

0.000628626 0.000863 0.000235

0.000270515 0.00048
<0.0001
<0.0001

open to open
intercept (r2constant)
STD ERR
T-Value
P-Value
intercept (r2slope)
STD ERR
T-Value
P-Value
intercept (beta2slope)
STD ERR
T-Value
P-Value

open to open
Before
After
0.436736483 0.299835
0.013667735 0.013668
31.95383092
8.60E-155
-0.19449383
0.045909857
-4.23642846
2.48155E-05

Diff.
-0.13690183
0.019329096
-7.08268178
2.67E-12

-0.27492 -0.0804309
0.04591 0.064926343
-1.23880223
0.215710611

1.518239546 0.173952 -1.34428742

0.158923884 0.158924 0.162053424
9.553249685
-8.2953349
1.79E-21
1.32E-16

intercept (r2constant)
STD ERR
T-Value
P-Value

Close to open
Before
After
0.27136474 0.022874
0.011369034 0.011369
23.86875918
6.13E-100

intercept (r2slope)
STD ERR
T-Value
P-Value

0.149728494
0.038188533
3.920771044
9.43077E-05

0.056948
0.038189

intercept (beta2slope)
STD ERR
T-Value
P-Value

1.644333907 2.243572
0.264278563 0.264279
6.221972344
5.24E-10

-0.00019
-0.00211
-0.01313

-0.000129
-0.001458
-0.03631

0.00050276 0.000415
0.000223183 0.000179
<0.0001
<0.0001

0.000126 0.000063
0.000079 0.000024
<0.0001
<0.0001

0.00080659 0.000832
0.000381137 0.000351
<0.0001
<0.0001

2.56285E-05

0.000250849 0.000131
0.000155799 5.33E-05
<0.0001
<0.0001

Diff.
-0.24849
0.016078
-15.4551
1.84E-48

Close to Open (Corrected overnight)

Before
After
Diff.
intercept (r2constant)
STD ERR
T-Value
P-Value

-0.09278
0.054007
-1.71795
0.086117

intercept (r2slope)
STD ERR
T-Value
P-Value

0.599239
0.269483
2.223662
0.026208

intercept (beta2slope)
STD ERR
T-Value
P-Value

-0.00012

Close to close
Before
After
Diff.
intercept (r2constant)
0.280973 0.480295 0.199322
STD ERR
0.013973
0.01976
T-Value
20.10894
10.08709

open to open
Before
intercept (r2constant)
0.294127
STD ERR
0.013457
T-Value
21.8576

intercept (r2slope)
STD ERR
T-Value

0.030233
0.046934
0.644159

-0.23923

intercept (r2slope)
STD ERR
T-Value

-0.28029
0.0452
-6.20102

intercept (beta2slope)
STD ERR
T-Value

-0.12052
0.094132
-1.28036

-0.00147 0.119052
0.095986
1.240304

intercept (beta2slope)
STD ERR
T-Value

-0.4726
0.097947
-4.82509

-0.26947
0.066374
-4.0598

en to open
After
Diff.
0.456373 0.162246 intercept (r2constant)
0.01903 STD ERR
8.525602 T-Value

open to close
Before
After
0.004769 0.313276
0.011076
0.43057

Diff.
0.308507
0.015663
19.69607

-0.23529 0.044996 intercept (r2slope)

0.063923 STD ERR
0.703905 T-Value

0.072167 0.116638 0.044471

0.037203
0.052613
1.9398
0.845252

0.082522 0.555124 intercept (beta2slope)

0.099876 STD ERR
5.55815 T-Value

3.51084
0.453642
7.739227

-2.374
0.462575
-5.13214

Close to Close
Before
After
Intercept (r2constant)
0.2877
STD ERR
0.0139
T-Value
20.6368
P-Value
0

Diff.
0.14714
0.01972
7.46343
0

Open to Open
Before
After
0.2998
0.0137
21.9374
0

-0.00019
Intercept (r2slope)
STD ERR
T-Value
P-Value

0.0265
0.04683
0.56594
0.57156

-0.0002
-0.1685
0.06622
-2.54446
0.01109

-0.27492
0.04591
-5.98836
0

-0.00219
Intercept (beta2slope)
STD ERR
T-Value
P-Value

-0.00211

1.8654
1.32564
0.2562323
0.17941
7.38901 7.280112609
0
-0.01673

0.53976
0.18294
2.95044
0.00319

Avg Var1
STD-DEV
t-stat
p-Value

0.000328954 0.000408737
0.000141867 0.000192883
16.3961
14.9843
1.5683E-21
6.2939E-20

0.000079782
0.000154255
3.65724
0.00062213

0.00050276
0.000223183
15.9289
5.1921E-21

0.000415228
0.000179214
16.3833
1.6201E-21

Avg Var2
STD-DEV
t-stat
p-Value

0.000628626 0.000863401
0.000270515 0.000479885
16.4318
12.7221
1.4324E-21
3.8179E-17

0.000234775
0.000435113
3.81535
0.000381826

0.00080659
0.000381137
14.9643
6.642E-20

0.000832218
0.000351341
16.7492
6.4467E-22

0.17395
0.15892
1.09456
0.27375

1.51824

-0.01313

Diff.
0.1369
0.01933
7.08268
0

Close to Open
Before
After
0.02287
0.01137
2.01198
0.04449

Diff.
0.2485
0.0161
15.4551
0
-0.00013

0.08043
0.06493
1.2388
0.21571

0.05695
0.03819
1.49123
0.13622

0.09278
0.05401
1.71795
0.08612

Open To close
Before
After
Diff.
0.1268
0.2802
0.0113
0.016
11.2235
17.5329
0
0
-0.0001
0.01234
0.03796
0.32504
0.74522

-0.00146
1.34429
0.16205
8.29533
0

1.64433
2.24357
0.377443226
0.26428
8.48942 4.356496254
0
-0.03631

-0.13827
0.05368
-2.57572
0.01015
-0.00144

-0.59924
0.26948
-2.22366
0.02621

-0.000087532
0.011081 0.000064847
-0.011016
0.000213654
0.012782 0.000024713
0.012787
-2.89694
6.13028
18.5542
-6.09199
0.005618443 0.000000147
8.3659E-24 0.000000169

0.000025628
0.022325 0.000458898
-0.021866
0.00034472
0.025494 0.000188871
0.025475
0.5257
6.19205
17.1805
-6.06938
0.60147 0.000000118
2.2156E-22 0.000000183

0.19789
0.14773
1.33954
0.18045

2.16309

-0.01135

1.9652
0.1506
13.0459
0

Close to Open (Overnight corrected) (COO)

Before
After
Diff.
0.4705
-0.03114
0.0145
0.02056
32.3636
-1.5144
0
0.13024
-0.00021
0.4975
0.0488
10.1869
0

-0.61754
0.06906
-8.94143
0
-0.00238

1.13992
0.89583
1.27247
0.20326

2.76998

-0.41722

1.63006
0.91347
1.78446
0.0744

Close to Close
Before
Intercept (r2constant)
0.287695486
STD ERR
0.013940905
T-Value
20.63678646
P-Value
4.69186E-79

Open to Open
After
Diff.
Before
After
0.434840038 0.147144552 0.299834649 0.436736483
0.013940905 0.019715417 0.013667735 0.013667735
31.19166427 7.463425675 21.93740628 31.95383092
1.83521E-13 2.45718E-87
-0.00019435
-0.000186807

Intercept (r2slope)
STD ERR
T-Value
P-Value

0.026501509 -0.14200266 -0.168504173 -0.274924723 -0.194493825

0.046827436 0.046827436 0.066223995 0.045909857 0.045909857
0.56593978 -3.03246722 -2.544457988 -5.988359374 -4.236428458
0.571562197
0.011094748 2.95644E-09
-0.00219281
-0.002107715

Intercept (beta2slope)
STD ERR
T-Value
P-Value

1.325644935 1.865400669
0.17940758 0.17940758
7.389012952 10.3975577
1.68124E-13
-0.01673361

0.539755734
0.182940487
2.9504444
0.003185445

Avg Var1
STD-DEV
t-stat
p-Value

0.000328954 0.000408737
0.000141867 0.000192883
16.39609018 14.98425158
1.56825E-21 6.29391E-20

7.97824E-05
0.000154255
3.657241731
0.00062213

0.00050276
0.000223183
15.92885288
5.19208E-21

0.000415228
0.000179214
16.38326345
1.62013E-21

Avg Var2
STD-DEV
t-stat
p-Value

0.000628626 0.000863401
0.000270515 0.000479885
16.43182444 12.72213681
1.43244E-21
3.8179E-17

0.000234775
0.000435113
3.815353532
0.000381826

0.00080659
0.000381137
14.9642899
6.64202E-20

0.000832218
0.000351341
16.74916502
6.44673E-22

0.173952123
0.158923884
1.094562492
0.273752315

1.518239546
0.158923884
9.553249685
-0.013130656

Close to Open
Diff.
Before
After
0.136901834 0.022874285 0.27136474
0.019329096 0.011369034 0.011369034
7.082681784 2.011981328 23.86875917
2.66957E-12 0.044490788
-0.00012925

Open To close
Diff.
Before
0.248490455
0.12683227
0.016078242 0.011300561
15.45507583 11.22353756
1.84195E-48 1.30949E-27

After
0.407033
0.011301
36.01887

Diff.
0.280201
0.015981
17.53295
3.46E-60

-0.00013

0.080430898
0.064926343
1.238802231
0.215710611

0.056947871 0.149728494 0.092780624

0.038188533 0.038188533 0.054006741
1.4912296 3.920771044 1.717945231
0.136217857
0.086117413
-0.00145836

0.012337909 -0.12593 -0.13827

0.037958532 0.037959 0.053681
0.325036512 -3.31758 -2.57572
0.745221699
0.010146
-0.00144

1.344287424
0.162053424
8.295334896
1.32461E-16

2.243572477 1.644333907 -0.59923857

0.264278562 0.264278562 0.269482754
8.489422889 6.221972344 -2.22366204
2.58961E-17
0.026208302
-0.03631048

0.197885757 2.163072 1.965187

0.14772703 0.147727 0.150636
1.339536552 14.64236 13.04592
0.180446824
2.22E-38
-0.01135

-8.75318E-05
0.000213654
-2.896941411
0.005618443

0.000126394 6.31136E-05 -6.3281E-05

7.94581E-05 2.41239E-05 8.53766E-05
11.2479801 18.49951482 -5.24105082
3.51926E-15 9.49801E-24 3.36765E-06

0.000365412 0.00039 2.43E-05

0.000145542 0.000187 0.000174
17.75330632 14.77316 0.988509
5.524E-23 1.11E-19 0.32776

2.56285E-05
0.00034472
0.525703321
0.601465505

0.000250849 0.000130918 -0.00011993

0.000155799 5.32544E-05 0.000170352
11.38495551 17.38310212 -4.97816633
2.28442E-15 1.35036E-22 8.33738E-06

0.000682304 0.000863 0.000181

0.000265064 0.000491 0.000496
18.20174868 12.44124 2.58181
1.90517E-23 8.85E-17 0.01287

Close to Open (Overnight corrected) (COO)

Before
After
Diff.
0.470530885 0.439393 -0.03114
0.014538893 0.014539 0.020561
32.3635967 30.22191
-1.5144
1.3314E-157
0.130242
-0.00021
0.497487401 -0.12005 -0.61754
0.048836075 0.048836 0.069065
10.18688328 -2.45821 -8.94143
2.9891E-23
1.83E-18
-0.00238
1.139916024 2.769973 1.630057
0.895831387 0.895831 0.913472
1.272467163 3.092069 1.784462
0.203256517
0.074399
-0.41722
0.011081161
0.012781745
6.130277265
1.47366E-07

6.48E-05 -0.01102
2.47E-05 0.012787
18.5542 -6.09199
8.37E-24 1.69E-07

0.022325008 0.000459 -0.02187

0.025494255 0.000189 0.025475
6.192047694 17.18047 -6.06938
1.18307E-07 2.22E-22 1.83E-07