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