Specification,T,p,H,TSI,NET_ES,NET_NQ,NET_USDJPY,NET_GC,NET_CL,NET_BTC,NET_ETH,NET_VIX,Own_BTC
"Baseline: log RV, trading days, VAR(4), H = 10",2514,4,10,54.75,35.95,25.58,-5.22,-7.23,-14.23,1.72,-2.39,-20.55,66.67
RV in levels (trading days),2514,4,10,50.04,41.61,29.84,-8.01,-4.77,-15.62,1.62,-1.59,-23.36,74.77
VAR(1),2514,1,10,53.66,38.60,26.18,-5.37,-11.85,-5.81,7.42,-3.97,-27.39,69.75
VAR(2),2514,2,10,54.13,36.58,25.86,-4.88,-8.82,-7.32,3.53,-3.36,-26.06,69.47
VAR(3),2514,3,10,54.88,36.03,25.53,-5.09,-7.24,-9.98,2.67,-2.99,-24.23,68.33
VAR(6),2514,6,10,55.48,35.04,23.74,-5.64,-5.17,-14.85,1.34,-3.83,-16.66,65.27
H = 5,2514,4,5,54.44,32.47,22.69,-5.73,-7.11,-11.94,-0.31,-2.72,-17.05,66.07
H = 20,2514,4,20,55.33,39.78,28.83,-5.37,-7.40,-17.43,4.44,-2.39,-23.28,67.34
Weekend-inclusive crypto RV,2514,4,10,54.89,36.27,25.98,-5.14,-7.35,-14.63,0.35,-1.22,-20.87,65.74
Sample 2018-01 to 2026-03,2063,4,10,57.40,35.71,27.68,-7.72,-5.70,-17.26,3.30,-5.62,-19.00,61.58
Sample 2016-03 to 2019-12,954,4,10,51.52,35.81,23.90,9.94,-13.21,-8.94,3.01,-6.56,-14.41,77.65
Sample 2020-01 to 2026-03,1560,4,10,60.88,36.40,28.16,-11.31,-1.79,-16.29,-8.71,-4.97,-19.51,47.66
Excluding VIX,2514,4,10,52.87,26.28,18.07,-5.81,-9.16,-13.13,0.84,-2.73,,67.73
Excluding BTC and ETH,2514,4,10,58.97,34.37,24.08,-4.41,-6.57,-13.75,,,-20.08,
Excluding ETH (BTC only),2514,4,10,53.79,35.74,25.04,-5.31,-7.56,-13.69,-1.25,,-19.75,91.71