\begin{table}[htbp]\centering\small
\caption{Final (held-out instruments): mean QLIKE of the cumulative-return forecast by horizon (minutes)}
\label{tab:final_qlike_heldout}
\begin{adjustbox}{max width=\textwidth}
\begin{tabular}{lcccc}
\toprule
Model & $H=5$ & $H=15$ & $H=30$ & $H=60$ \\
\midrule
Random walk (trailing RMS) & -12.1845 {\scriptsize[-12.2592, -12.1091]} & -11.1268 {\scriptsize[-11.1980, -11.0543]} & -10.4659 {\scriptsize[-10.5362, -10.3930]} & -9.8150 {\scriptsize[-9.8856, -9.7430]} \\
Seasonal volatility & -12.2633 {\scriptsize[-12.3543, -12.1638]} & -11.2157 {\scriptsize[-11.2947, -11.1352]} & -10.5440 {\scriptsize[-10.6249, -10.4610]} & -9.8786 {\scriptsize[-9.9609, -9.7888]} \\
EWMA-$t$ & -12.3282 {\scriptsize[-12.4043, -12.2493]} & -11.2556 {\scriptsize[-11.3255, -11.1838]} & -10.5728 {\scriptsize[-10.6450, -10.4986]} & -9.8931 {\scriptsize[-9.9670, -9.8118]} \\
HAR-RV & -12.3044 {\scriptsize[-12.3769, -12.2319]} & -11.2809 {\scriptsize[-11.3520, -11.2075]} & -10.6068 {\scriptsize[-10.6800, -10.5301]} & -9.9433 {\scriptsize[-10.0193, -9.8589]} \\
GARCH(1,1)-$t$ & -12.2760 {\scriptsize[-12.3510, -12.2005]} & -11.2092 {\scriptsize[-11.2780, -11.1365]} & -10.5265 {\scriptsize[-10.5990, -10.4502]} & -9.8418 {\scriptsize[-9.9171, -9.7574]} \\
Ridge & -12.1950 {\scriptsize[-12.2735, -12.1029]} & -11.2708 {\scriptsize[-11.3433, -11.1951]} & -10.6067 {\scriptsize[-10.6800, -10.5275]} & -9.9468 {\scriptsize[-10.0234, -9.8609]} \\
Elastic net & -12.1950 {\scriptsize[-12.2734, -12.1025]} & -11.2706 {\scriptsize[-11.3431, -11.1949]} & -10.6066 {\scriptsize[-10.6800, -10.5271]} & -9.9467 {\scriptsize[-10.0234, -9.8608]} \\
LightGBM & 2.1999 {\scriptsize[-7.3370, 14.1130]} & -11.2375 {\scriptsize[-11.3259, -11.1557]} & -10.6110 {\scriptsize[-10.6858, -10.5313]} & -9.9532 {\scriptsize[-10.0292, -9.8658]} \\
MLP (1m) & -12.3590 {\scriptsize[-12.4378, -12.2744]} & -11.2922 {\scriptsize[-11.3632, -11.2181]} & -10.6199 {\scriptsize[-10.6929, -10.5447]} & -9.9582 {\scriptsize[-10.0329, -9.8774]} \\
TCN (1m) & -12.3689 {\scriptsize[-12.4474, -12.2856]} & -11.2979 {\scriptsize[-11.3682, -11.2244]} & -10.6235 {\scriptsize[-10.6955, -10.5492]} & -9.9596 {\scriptsize[-10.0336, -9.8792]} \\
MRPT-S (1m+5m+30m) & -12.3707 {\scriptsize[-12.4504, -12.2852]} & -11.3026 {\scriptsize[-11.3745, -11.2281]} & -10.6291 {\scriptsize[-10.7026, -10.5524]} & -9.9684 {\scriptsize[-10.0435, -9.8865]} \\
MRPT-S (1m only) & -12.3681 {\scriptsize[-12.4479, -12.2825]} & -11.2991 {\scriptsize[-11.3704, -11.2247]} & -10.6240 {\scriptsize[-10.6975, -10.5469]} & -9.9601 {\scriptsize[-10.0354, -9.8758]} \\
MRPT-B (1m+5m+30m) & -12.3690 {\scriptsize[-12.4480, -12.2855]} & -11.3000 {\scriptsize[-11.3715, -11.2264]} & -10.6268 {\scriptsize[-10.6998, -10.5516]} & -9.9649 {\scriptsize[-10.0379, -9.8849]} \\
\bottomrule
\end{tabular}
\end{adjustbox}
\begin{minipage}{0.95\textwidth}\scriptsize Cluster-bootstrap (trading-day) 95\% intervals in brackets.\end{minipage}
\end{table}