| 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 | 0.815 | −0.498 | 0.833** | −23.197 | −23.001 |
|
|
| 1 week | 0.828 | −0.262 | 1.27*** | −21.286 | −20.538 |
|
|
| 2 weeks | 0.844 | 0.030 | 1.631*** | −19.272 | −17.842 |
|
|
| 1 month | 0.862 | 0.134 | 2.144*** | −17.292 | −15.359 |
|
| MSE | 1 day | 1.005 | −0.252 | 0.433 | −9.550 | −9.566 |
|
|
| 1 week | 1.010 | −0.236 | 0.749 | −9.751 | −9.835 |
|
|
| 2 weeks | 1.017 | −0.262 | 1.062 | −10.107 | −10.281 |
|
|
| 1 month | 1.031 | −0.544 | 1.709 | −10.776 | −11.116 |
| 5 min-RV | QL | 1 day | 1.486 | 0.044 | −0.379 | −21.602 | −24.467 |
|
|
| 1 week | 1.482 | −0.105 | −0.231 | −23.443 | −24.939 |
|
|
| 2 weeks | 1.494 | 0.229 | −0.045 | −24.009 | −24.178 |
|
|
| 1 month | 1.511 | 0.985** | 0.156 | −25.729 | −24.082 |
|
| MSE | 1 day | 9.851 | 0.002 | −0.037 | −0.302 | −0.371 |
|
|
| 1 week | 9.851 | 0.002 | −0.014 | −0.530 | −0.567 |
|
|
| 2 weeks | 9.854 | 0.006 | 0.011 | −0.774 | −0.781 |
|
|
| 1 month | 9.938 | −0.022 | 0.053 | −0.582 | −0.534 |