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

0.7845

−0.479

0.07

−31.762

−24.622

1 week

0.7934

0.065

0.296

−27.737

−20.698

2 weeks

0.7919

1.076

0.949

−24.481

−19.202

1 month

0.8134

3.159

2.861

−18.84

−14.713

MSE

1 day

1.0104

−1.551

−0.644

−10.879

−11.09

1 week

0.9711

−2.262

−1.353

−7.15

−7.377

2 weeks

0.9404

−2.196

−1.378

−3.978

−4.177

1 month

0.9117

−1.091

−0.599

0.422

0.606

5 min-RV

QL

1 day

1.5773

2.874**

2.751**

−83.341

−60.638

1 week

1.5629

1.755

2.424

−78.156

−59.202

2 weeks

1.5731

1.046

2.098

−66.311

−54.694

1 month

1.5985

1.333

3.091

−54.484

−45.779

MSE

1 day

9.9207

0.506

0.48

−0.237

−0.124

1 week

9.8953

0.277

0.235

−0.659

−0.558

2 weeks

9.8754

0.104

0.057

−1.046

−0.983

1 month

9.8993

−0.177

−0.223

−1.342

−1.282