| 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 | 0.4432 | −8.571 | −6.876 | −65.999 | −81.579 |
|
|
| 1 week | 0.4457 | −10.853 | −9.564 | −64.731 | −79.167 |
|
|
| 2 weeks | 0.4622 | −13.432 | −12.965 | −60.703 | −72.99 |
|
|
| 1 month | 0.4833 | −18.974 | −22.061 | −25.437 | −41.58 |
|
| MSE | 1 day | 1.6543 | −2.295 | −0.194 | −96.629 | −97.851 |
|
|
| 1 week | 1.7242 | −10.322 | −8.475 | −95.281 | −96.808 |
|
|
| 2 weeks | 1.5608 | −18.783 | −17.57 | −92.897 | −94.67 |
|
|
| 1 month | 1.4191 | −39.502 | −44.297 | −62.861 | −69.566 |
| 5 min-RV | QL | 1 day | 1.5197 | 11.494 | 11.018 | −10.007 | −19.045 |
|
|
| 1 week | 1.5282 | 9.83 | 9.551 | −9.844 | −20.109 |
|
|
| 2 weeks | 1.3615 | 10.428 | 10.384 | −25.327 | 8.744 |
|
|
| 1 month | 9.9484 | 13.84 | 12.694 | −85.425 | −46.436 |
|
| MSE | 1 day | 15.8919 | 0.205 | 0.388 | 9.895 | 10.91 |
|
|
| 1 week | 16.1981 | −0.021 | 0.076 | 6.641 | 7.776 |
|
|
| 2 weeks | 16.7667 | 0.067 | 0.105 | 2.958 | 4.183 |
|
|
| 1 month | 19.3395 | 1.149 | 1.04 | −3.054 | −2.033 |