| 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 | 0.798 | −0.858 | 0.013 | −28.956 | −19.365 |
|
|
| 1 week | 0.804 | −0.744 | −0.629 | −25.492 | −17.804 |
|
|
| 2 weeks | 0.798 | −0.844 | −1.688 | −22.805 | −18.231 |
|
|
| 1 month | 0.799 | −0.396 | −3.177 | −20.229 | −18.446 |
|
| MSE | 1 day | 1.037 | 1.848 | 2.193 | −13.219 | −13.349 |
|
|
| 1 week | 1.010 | 0.028 | −0.3 | −10.786 | −10.882 |
|
|
| 2 weeks | 0.983 | −1.494 | −2.601 | −8.197 | −8.207 |
|
|
| 1 month | 0.933 | −4.302 | −6.844 | 2.767 | −2.711 |
| 5 min-RV | QL | 1 day | 1.577 | 2.874 | 2.751** | −83.341 | −60.638 |
|
|
| 1 week | 1.563 | 1.755 | 2.424 | −78.156 | −59.202 |
|
|
| 2 weeks | 1.573 | 1.046 | 2.098 | −66.311 | −54.694 |
|
|
| 1 month | 1.599 | 1.333 | 3.091 | −54.484 | −45.779 |
|
| MSE | 1 day | 9.921 | 0.506 | 0.48 | −0.237 | −0.124 |
|
|
| 1 week | 9.895 | 0.277 | 0.235 | −0.659 | −0.558 |
|
|
| 2 weeks | 9.875 | 0.104 | 0.057 | −1.046 | −0.983 |
|
|
| 1 month | 9.899 | −0.177 | −0.223 | −1.342 | −1.282 |