| Volatility proxy | Loss function | Forecasting horizons | Forecasting strategies | ||||
| Benchmark | Student t | Skew student | 1-year | 3-year | |||
|
| innovation | t innovation | rolling window | rolling window | |||
| TSRV | QL | 1 day | 0.6189 | −5.39 | −4.476 | −28.355 | −14.436 |
|
|
| 1 week | 0.6291 | −7.044 | −7.98 | −29.191 | −15.4 |
|
|
| 2 weeks | 0.6163 | −8.719 | −11.793 | −28.563 | −11.206 |
|
|
| 1 month | 0.6579 | −18.668 | −27.933 | −23.379 | −15.526 |
|
| MSE | 1 day | 3.2443 | 9.824* | 1.564 | −9.618 | 9.517 |
|
|
| 1 week | 3.3296 | 0.017 | −2.526 | −8.274 | 9.236 |
|
|
| 2 weeks | 2.9432 | −11.195 | −20.364 | 2.376 | 8.404 |
|
|
| 1 month | 3.4377 | −4.989 | −84.539 | 5.731 | 6.871 |
| 5 min-RV | QL | 1 day | 0.6543 | −5.176 | −4.358 | −28.812 | −15.194 |
|
|
| 1 week | 0.6733 | −6.6 | −7.489 | −25.792 | −13.192 |
|
|
| 2 weeks | 0.6572 | −8.208 | −11.165 | −23.668 | −13.286 |
|
|
| 1 month | 0.7182 | −18.297 | −27.722 | −14.162 | −14.506 |
|
| MSE | 1 day | 3.0599 | 9.526 | 11.244*** | 9.816 | 9.675 |
|
|
| 1 week | 3.4573 | 0.116 | −2.374 | 9.83 | 9.722 |
|
|
| 2 weeks | 3.8544 | −10.773 | −19.762 | 8.645 | 8.577 |
|
|
| 1 month | 3.7833 | −48.859 | −83.002 | 8.129 | 9.15 |