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

0.6493

−0.623

1.325***

−2.841

−9.433

1 week

0.6663

−0.631

1.851*

−1.889

−1.887

2 weeks

0.6955

−0.764

1.537

12.977**

−3.717

1 month

0.6840

−1.598

2.848

9.392*

4.228

MSE

1 day

2.9401

−1.867

1.957 ***

2.62

1.637

1 week

3.1413

−1.983

3.457 *

2.695

1.847

2 weeks

3.4482

−2.174

4.871 *

2.739

2.041

1 month

3.5297

−3.586

9.396

5.238

−4.887

5 min-RV

QL

1 day

0.6850

−0.547

1.251***

7.774

−2.067

1 week

0.7117

−0.603

1.651**

6.831**

0.412

2 weeks

0.7367

−0.764

1.464**

4.909*

1.715

1 month

0.7123

−1.633

2.856*

3.399

2.011

MSE

1 day

3.0498

−1.827

1.92**

2.725

1.774

1 week

3.2620

−1.971

3.36***

2.972

2.199

2 weeks

3.6500

−2.196

4.739*

3.439

2.819

1 month

3.5922

−3.606

9.288*

6.131**

5.817*