Panel A: h = 2

Panel B: h = 4

$R_{OOS}^2$

MSFE

MSFE_adj

$R_{OOS}^2$

MSFE

MSFE_adj

VAR

0.0204

2.8601 e⁻⁴

1.4810*

0.0321

2.8871e⁻⁴

1.6246*

Pork

0.0214

2.8572 e⁻⁴

1.6880**

0.0365

2.8740e⁻⁴

1.9045**

Crude oil WTI

0.0163

2.8720 e⁻⁴

2.0112**

0.0371

2.8722e⁻⁴

1.7549**

Wheat

−0.0079

2.9428 e⁻⁴

1.0726

0.0037

2.9717e⁻⁴

1.1980

Cornstarch

−0.0175

2.9707 e⁻⁴

0.8626

−0.0027

2.9908e⁻⁴

1.0853

Soybean

0.0150

2.8759e⁻⁴

1.4252*

0.0308

2.8910e⁻⁴

1.6568**

Panel C: h = 8

Panel D: h = 12

$R_{OOS}^2$

MSFE

MSFE_adj

$R_{OOS}^2$

MSFE

MSFE_adj

VAR

0.0327

2.9996e⁻⁴

1.5985*

0.0375

3.1032e⁻⁴

1.6149*

Pork

0.0394

2.9787e⁻⁴

1.8909**

0.0483

3.0684e⁻⁴

2.0246**

Crude oil WTI

0.0274

3.0160e⁻⁴

1.5312*

0.0334

3.1165e⁻⁴

1.6055*

Wheat

0.0083

3.0752e⁻⁴

1.2507

0.0045

3.2097e⁻⁴

1.2569

Cornstarch

0.0011

3.0974e⁻⁴

1.0891

0.0022

3.2171e⁻⁴

1.0832

Soybean

0.0502

2.9452e⁻⁴

1.7872**

0.0370

3.1050e⁻⁴

1.5951*