| 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 | 0.528 | −11.349 | −8.842 | −3.229 | −16.295 |
|
|
| 1 week | 0.5373 | −15.271 | −12.04 | −37.634 | −202.4 |
|
|
| 2 weeks | 0.5759 | −20.065 | −15.754 | −44.734 | −39.273 |
|
|
| 1 month | 0.5894 | −40.855 | −30.557 | −46.463 | −31.089 |
|
| MSE | 1 day | 2.1989 | −14.535 | −7.448 | 9.018 | 90.127 |
|
|
| 1 week | 2.2755 | −30.592 | −20.008 | 4.304 | 85.811 |
|
|
| 2 weeks | 2.5016 | −51.161 | −35.457 | 5.254 | 77.474 |
|
|
| 1 month | 2.8451 | −21.477 | −83.595 | 4.29 | 49.634 |
| 5 min-RV | QL | 1 day | 0.5134 | −10.94 | −8.592 | −25.511 | −15.824 |
|
|
| 1 week | 0.5815 | −14.272 | −11.271 | −15.608 | −16.175 |
|
|
| 2 weeks | 0.6121 | −19.205 | −15.066 | −33.142 | −11.552 |
|
|
| 1 month | 0.3018 | −40.637 | −30.276 | −37.827 | −24.413 |
|
| MSE | 1 day | 3.3016 | −14.434 | −7.444 | 9.263 | 9.324 |
|
|
| 1 week | 3.3737 | −29.977 | −19.611 | 5.186 | 6.58 |
|
|
| 2 weeks | 3.5766 | −49.899 | −34.552 | 7.999 | 7.986 |
|
|
| 1 month | 3.6146 | −19.794 | −82.378 | 4.126 | 5.856 |