$\Delta CoVa{R}_t^{CT|S}\left(\text{1\%}\right)$ Panel A: H-L Range based Model

Holding Periods

Portfolio

Daily

Weekly

Monthly

Quarterly

CT^1×1

CT^2×2

CT^3×3

CT^1×1

CT^2×2

CT^3×3

CT^1×1

CT^2×2

CT^3×3

CT^1×1

CT^2×2

CT^3×3

1999

−1.21

−3.87

−2.63

−2.72

−1.78

−5.26

−16.28

−12.99

−0.78

8.64

−17.09

−13.48

2000

−1.19

−3.81

−2.59

−2.67

−1.77

−5.15

−17.00

−13.50

−0.78

8.20

−16.22

−12.80

2001

−1.05

−3.39

−2.25

−2.32

−1.70

−4.25

−14.59

−11.99

−0.85

7.01

−13.89

−10.97

2002

−0.95

−3.10

−2.03

−2.04

−1.64

−3.52

−11.93

−10.09

−0.82

1.44

−1.58

−0.91

2003

−0.95

−3.11

−2.04

−2.05

−1.63

−3.57

−10.61

−9.03

−0.75

1.84

−2.67

−1.85

2004

−0.97

−3.16

−2.07

−2.07

−1.64

−3.61

−11.63

−9.80

−0.78

2.52

−4.18

−3.09

2005

−1.05

−3.39

−2.25

−2.26

−1.68

−4.09

−12.99

−10.77

−0.80

3.18

−5.52

−4.15

2006

−1.08

−3.47

−2.32

−2.38

−1.71

−4.38

−12.53

−10.23

−0.70

4.62

−8.54

−6.57

2007

−1.28

−4.08

−2.80

−2.90

−1.83

−5.69

−15.08

−12.00

−0.71

5.32

−10.23

−7.99

2008

−1.61

−5.00

−3.53

−3.72

−2.03

−7.75

−23.94

−18.13

−0.72

13.19

−26.86

−21.39

2009

−1.10

−3.55

−2.38

−2.45

−1.72

−4.58

−13.44

−10.61

−0.59

16.32

−33.97

−27.23

2010

−0.95

−3.12

−2.04

−2.05

−1.64

−3.57

−10.86

−9.23

−0.76

1.54

−1.97

−1.27

2011

−0.99

−3.23

−2.13

−2.16

−1.67

−3.82

−12.04

−10.15

−0.81

1.58

−2.19

−1.48

2012

−1.02

−3.30

−2.19

−2.24

−1.68

−4.04

−12.98

−10.72

−0.78

3.91

−6.98

−5.31

2013

−0.95

−3.12

−2.04

−2.07

−1.64

−3.62

−13.77

−11.58

−0.91

2.44

−3.94

−2.88

2014

−0.96

−3.14

−2.05

−2.09

−1.66

−3.65

−13.46

−11.36

−0.91

1.90

−2.90

−2.06