Before revision:  the endogeneity factor does not depend on the time of the day and is about 0.7. Significant fits of a full day can be achieved if one accounts for intra-day variability of exogenous activity, which yields a larger endogeneity factor ( 0.8 ). We could not obtain significant fits beyond a single day. Variable seasonalities are major obstacles to fitting FX activity with Hawkes processes accurately and result in larger apparent endogeneity factors and lower statistical significance .
After revision:  the endogeneity factor does not depend on the time of the day and is about 0.7. Significant fits of a full day can be achieved if one accounts for intra-day variability of exogenous activity, which yields a larger endogeneity factor ( 0.8 .