\begin{table}[htbp]\centering\small
\caption{Main (held-out instruments): mean WIS of the cumulative-return forecast by horizon (minutes)}
\label{tab:main_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) & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0011, 0.0012]} & 0.0016 {\scriptsize[0.0016, 0.0016]} & 0.0022 {\scriptsize[0.0021, 0.0023]} \\
Seasonal volatility & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0012]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0021, 0.0022]} \\
EWMA-$t$ & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0021, 0.0022]} \\
HAR-RV & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
GARCH(1,1)-$t$ & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0012]} & 0.0016 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0021, 0.0022]} \\
Ridge & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
Elastic net & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
LightGBM & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
MLP (1m) & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
TCN (1m) & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
MRPT-S (1m+5m+30m) & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
MRPT-S (1m only) & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
MRPT-B (1m+5m+30m) & 0.0007 {\scriptsize[0.0006, 0.0007]} & 0.0011 {\scriptsize[0.0011, 0.0011]} & 0.0015 {\scriptsize[0.0015, 0.0016]} & 0.0021 {\scriptsize[0.0020, 0.0022]} \\
\bottomrule
\end{tabular}
\end{adjustbox}
\begin{minipage}{0.95\textwidth}\scriptsize Cluster-bootstrap (trading-day) 95\% intervals in brackets.\end{minipage}
\end{table}