Market open effect dummy

[nenolusi]

Hi,

I am trying to estimate conditional means of return for cash and futures market using Bivariate VAR model. I need to include a dummy variable in the mean equation to capture the market opening effects at different times (e.g 9.15am 9.30am, 10.00am) . Please how do I estimate the Dummy variable? My data is intraday data with 10min, 30min and 1hr intervals. I an using Eviews 8.