\begin{table}[htbp]\centering\small
\caption{Final (held-out instruments): mean WIS of the cumulative-return forecast by horizon (minutes)}
\label{tab:final_wis_heldout}
\begin{adjustbox}{max width=\textwidth}
\begin{tabular}{lcccc}
\toprule
Model & $H=5$ & $H=15$ & $H=30$ & $H=60$ \\
\midrule
Random walk (trailing RMS) & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0017, 0.0019]} & 0.0025 {\scriptsize[0.0024, 0.0027]} \\
Seasonal volatility & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0017, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
EWMA-$t$ & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0017, 0.0019]} & 0.0025 {\scriptsize[0.0023, 0.0026]} \\
HAR-RV & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
GARCH(1,1)-$t$ & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0017, 0.0019]} & 0.0025 {\scriptsize[0.0023, 0.0027]} \\
Ridge & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
Elastic net & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
LightGBM & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
MLP (1m) & 0.0008 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
TCN (1m) & 0.0007 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
MRPT-S (1m+5m+30m) & 0.0007 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
MRPT-S (1m only) & 0.0007 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
MRPT-B (1m+5m+30m) & 0.0007 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0014]} & 0.0018 {\scriptsize[0.0016, 0.0019]} & 0.0024 {\scriptsize[0.0023, 0.0026]} \\
\bottomrule
\end{tabular}
\end{adjustbox}
\begin{minipage}{0.95\textwidth}\scriptsize Cluster-bootstrap (trading-day) 95\% intervals in brackets.\end{minipage}
\end{table}