| 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 | 0.5068 | −5.323 | 0.451** | −30.251 | −21.495 |
|
|
| 1 week | 0.5870 | −5.618 | 1.218* | −24.998 | −18.034 |
|
|
| 2 weeks | 0.5712 | −6.213 | 1.933** | −24.533 | −20.055 |
|
|
| 1 month | 0.6293 | −8.754 | 3.35* | −17.483 | −18.717 |
|
| MSE | 1 day | 1.5643 | −9.459 | 1.235 | −0.483 | 10.92 |
|
|
| 1 week | 1.6720 | −9.95 | 3.204 | 2.23 | 11.267 |
|
|
| 2 weeks | 1.6895 | −11.138 | 4.95 | 4.052 | 9.82 |
|
|
| 1 month | 1.6975 | −15.955 | 8.134 | 11.706* | −4.969 |
| 5 min-RV | QL | 1 day | 0.9963 | 1.049 | 0.732** | −16.728 | −19.726 |
|
|
| 1 week | 0.9315 | 0.478 | 0.665* | −39.133 | −42.923 |
|
|
| 2 weeks | 0.8144 | −0.481 | 0.334 | −90.508 | −93.362 |
|
|
| 1 month | 0.6215 | −2.186 | −0.606 | −6.255 | −5.975 |
|
| MSE | 1 day | 1.5030 | −0.427 | 0.2 | −26.786 | −26.065 |
|
|
| 1 week | 1.5514 | −0.359 | 0.291 | −27.867 | −27.176 |
|
|
| 2 weeks | 1.6057 | −0.225 | 0.239 | −29.666 | −29.857 |
|
|
| 1 month | 1.7982 | 0.205 | −0.341 | −33.833 | −33.809 |