\begin{table}[htbp]\centering\small
\caption{Main (held-out instruments): mean QLIKE of the cumulative-return forecast by horizon (minutes)}
\label{tab:main_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) & -12.3758 {\scriptsize[-12.4179, -12.3322]} & -11.3150 {\scriptsize[-11.3571, -11.2714]} & -10.6555 {\scriptsize[-10.6986, -10.6135]} & -10.0063 {\scriptsize[-10.0500, -9.9624]} \\
Seasonal volatility & -12.4778 {\scriptsize[-12.5166, -12.4364]} & -11.4132 {\scriptsize[-11.4559, -11.3681]} & -10.7404 {\scriptsize[-10.7895, -10.6903]} & -10.0746 {\scriptsize[-10.1325, -10.0195]} \\
EWMA-$t$ & -12.5156 {\scriptsize[-12.5537, -12.4738]} & -11.4371 {\scriptsize[-11.4796, -11.3933]} & -10.7544 {\scriptsize[-10.8003, -10.7094]} & -10.0743 {\scriptsize[-10.1247, -10.0260]} \\
HAR-RV & -12.4914 {\scriptsize[-12.5285, -12.4500]} & -11.4695 {\scriptsize[-11.5127, -11.4246]} & -10.7982 {\scriptsize[-10.8456, -10.7515]} & -10.1390 {\scriptsize[-10.1907, -10.0897]} \\
GARCH(1,1)-$t$ & -12.4497 {\scriptsize[-12.4912, -12.4064]} & -11.3819 {\scriptsize[-11.4260, -11.3386]} & -10.7024 {\scriptsize[-10.7475, -10.6586]} & -10.0149 {\scriptsize[-10.0630, -9.9695]} \\
Ridge & -12.3719 {\scriptsize[-12.4198, -12.3225]} & -11.4569 {\scriptsize[-11.5052, -11.4089]} & -10.7957 {\scriptsize[-10.8476, -10.7461]} & -10.1395 {\scriptsize[-10.1945, -10.0873]} \\
Elastic net & -12.3721 {\scriptsize[-12.4199, -12.3227]} & -11.4565 {\scriptsize[-11.5050, -11.4083]} & -10.7954 {\scriptsize[-10.8475, -10.7455]} & -10.1393 {\scriptsize[-10.1944, -10.0866]} \\
LightGBM & 0.5947 {\scriptsize[-6.9895, 11.3358]} & -11.4489 {\scriptsize[-11.4962, -11.3996]} & -10.8054 {\scriptsize[-10.8535, -10.7585]} & -10.1510 {\scriptsize[-10.2017, -10.1017]} \\
MLP (1m) & -12.5461 {\scriptsize[-12.5884, -12.5037]} & -11.4744 {\scriptsize[-11.5200, -11.4271]} & -10.8008 {\scriptsize[-10.8499, -10.7480]} & -10.1363 {\scriptsize[-10.1911, -10.0759]} \\
TCN (1m) & -12.5622 {\scriptsize[-12.6000, -12.5192]} & -11.4847 {\scriptsize[-11.5279, -11.4404]} & -10.8126 {\scriptsize[-10.8586, -10.7664]} & -10.1518 {\scriptsize[-10.2014, -10.1041]} \\
MRPT-S (1m+5m+30m) & -12.5674 {\scriptsize[-12.6060, -12.5251]} & -11.4939 {\scriptsize[-11.5348, -11.4508]} & -10.8237 {\scriptsize[-10.8671, -10.7784]} & -10.1659 {\scriptsize[-10.2131, -10.1193]} \\
MRPT-S (1m only) & -12.5634 {\scriptsize[-12.6017, -12.5215]} & -11.4878 {\scriptsize[-11.5310, -11.4431]} & -10.8160 {\scriptsize[-10.8624, -10.7698]} & -10.1558 {\scriptsize[-10.2058, -10.1079]} \\
MRPT-B (1m+5m+30m) & -12.5634 {\scriptsize[-12.6024, -12.5210]} & -11.4898 {\scriptsize[-11.5320, -11.4456]} & -10.8190 {\scriptsize[-10.8645, -10.7726]} & -10.1601 {\scriptsize[-10.2096, -10.1119]} \\
\bottomrule
\end{tabular}
\end{adjustbox}
\begin{minipage}{0.95\textwidth}\scriptsize Cluster-bootstrap (trading-day) 95\% intervals in brackets.\end{minipage}
\end{table}