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 | 0.4421 | −15.667 | −12.719 | −65.756 | −81.032 |
|
| 1 week | 0.4717 | −19.015 | −18.624 | −66.674 | −80.018 |
|
| 2 weeks | 0.4840 | −24.036 | −27.477 | −65.626 | −76.272 |
|
| 1 month | 0.4917 | −48.699 | −66.562 | −44.2 | −56.165 |
| MSE | 1 day | 1.8865 | 2.492 | 5.357 | 96.78 | −97.908 |
|
| 1 week | 1.8353 | −3.228 | −4.973 | −96.338 | −97.496 |
|
| 2 weeks | 1.7685 | −10.768 | −19.692 | −95.575 | −96.68 |
|
| 1 month | 1.5344 | −50.798 | −89.796 | −87.009 | −89.398 |
5 min-RV | QL | 1 day | 1.4674 | 20.057 | 20.292 | −13.929 | −12.667 |
|
| 1 week | 1.5337 | 24.06 * | 24.85 * | −9.451 | −15.967 |
|
| 2 weeks | 1.6574 | 20.839 | 21.197 | −35.704 | −5.862 |
|
| 1 month | 1.8378 | 19.671 | 18.629 | −120.186 | −87.524 |
| MSE | 1 day | 1.6055 | 2.111 | 2.376 | 10.813 | 11.67 |
|
| 1 week | 1.6543 | 2.027 | 1.921 | 8.585 | 9.486 |
|
| 2 weeks | 1.7113 | 1.991 | 1.502 | 4.921 | 5.833 |
|
| 1 month | 1.9250 | 3.15 | 2.921 | −3.534 | −2.857 |