spb/wp12_uqo

1h,model,n_assets,median_dm,pct_better,pct_sig_better,pct_sig_worse21,Comb-InvMSE,25.0,-6.943037327793432,1.0,0.96,0.031,Comb-Mean,25.0,-3.446301214614453,0.92,0.76,0.0441,EGARCH,25.0,5.567301613786499,0.04,0.0,0.9251,ElasticNet-H,25.0,-3.5022845859217697,1.0,0.88,0.061,ElasticNet-X,25.0,-5.7773853082078706,1.0,0.96,0.071,GARCH,25.0,6.151187942195913,0.12,0.04,0.881,GJR,25.0,5.006023280770093,0.12,0.04,0.7691,HAR-CJ,25.0,1.1958078835680217,0.28,0.2,0.36101,HAR-J,25.0,0.7496181978979275,0.32,0.12,0.04111,HARQ,25.0,1.3307217993955662,0.12,0.04,0.2121,LASSO-H,25.0,-3.6057294890905034,0.96,0.84,0.0131,LASSO-X,25.0,-5.4641794982045235,1.0,0.88,0.0141,LSTM,25.0,9.930905119441322,0.16,0.04,0.8151,LightGBM-H,25.0,3.296246542457937,0.28,0.08,0.64161,LightGBM-X,25.0,0.7098960560696349,0.36,0.16,0.32171,LogHAR,25.0,-3.298234295008824,1.0,0.84,0.0181,Pooled-LGBM,25.0,-2.1727161859920634,0.88,0.6,0.0191,RF-H,25.0,0.15209535814835753,0.48,0.2,0.24201,RF-X,25.0,-1.5136697116501137,0.76,0.44,0.04211,RealGARCH,25.0,-2.687600991454255,0.92,0.68,0.0221,Ridge-H,25.0,-3.5405786079673947,1.0,0.88,0.0231,Ridge-X,25.0,-5.551060925761704,1.0,0.96,0.0241,SHAR,25.0,0.9395341254646833,0.36,0.08,0.28251,Transformer,25.0,7.833927594893133,0.0,0.0,0.88261,XGBoost-H,25.0,1.7705682591659064,0.32,0.08,0.48271,XGBoost-X,25.0,-0.7875391305629498,0.68,0.24,0.16285,Comb-InvMSE,25.0,-5.657977615877846,1.0,0.88,0.0295,Comb-Mean,25.0,-4.140752550134396,1.0,0.76,0.0305,EGARCH,25.0,2.545958718089302,0.04,0.0,0.64315,ElasticNet-H,25.0,-4.361998244992249,1.0,0.88,0.0325,ElasticNet-X,25.0,-4.197620214222741,1.0,0.88,0.0335,GARCH,25.0,2.5492837252597984,0.16,0.04,0.64345,GJR,25.0,2.1583180945162597,0.24,0.04,0.52355,HAR-CJ,25.0,0.8112062093662223,0.32,0.16,0.16365,HAR-J,25.0,0.37394125559466523,0.36,0.08,0.12375,HARQ,25.0,1.171504528212582,0.24,0.08,0.04385,LASSO-H,25.0,-3.7254544977271715,0.96,0.84,0.0395,LASSO-X,25.0,-4.0507221102987865,0.96,0.84,0.0405,LSTM,25.0,4.913676796659845,0.16,0.08,0.84415,LightGBM-H,25.0,1.905975700073712,0.2,0.08,0.48425,LightGBM-X,25.0,1.6788022343372053,0.28,0.08,0.36435,LogHAR,25.0,-4.014826915409982,1.0,0.88,0.0445,Pooled-LGBM,25.0,-0.7011088233353084,0.84,0.16,0.0455,RF-H,25.0,0.3902870212416523,0.4,0.24,0.08465,RF-X,25.0,-0.03893779820438979,0.52,0.28,0.04475,RealGARCH,25.0,-3.1389013155199783,0.84,0.68,0.0485,Ridge-H,25.0,-4.359356441615836,1.0,0.88,0.0495,Ridge-X,25.0,-4.133752276977904,1.0,0.88,0.0505,SHAR,25.0,0.19853741206159933,0.48,0.2,0.2515,Transformer,25.0,4.238199200719848,0.08,0.04,0.88525,XGBoost-H,25.0,1.3949325647143775,0.28,0.08,0.32535,XGBoost-X,25.0,1.1300726528146023,0.32,0.08,0.085422,Comb-InvMSE,25.0,-3.345910265973175,1.0,0.84,0.05522,Comb-Mean,25.0,-2.143818442236824,1.0,0.6,0.05622,EGARCH,25.0,0.9805482470916771,0.28,0.0,0.245722,ElasticNet-H,25.0,-2.638892185784272,0.96,0.64,0.05822,ElasticNet-X,25.0,-1.4864312359384915,0.92,0.36,0.05922,GARCH,25.0,0.590783045047539,0.44,0.08,0.26022,GJR,25.0,0.5646549718661108,0.44,0.08,0.26122,HAR-CJ,25.0,0.7542936063484209,0.4,0.12,0.046222,HAR-J,25.0,0.3868948225981043,0.4,0.0,0.086322,HARQ,25.0,1.0642177787822094,0.2,0.12,0.06422,LASSO-H,25.0,-2.1405085928529837,0.92,0.6,0.06522,LASSO-X,25.0,-1.4882990077419642,0.88,0.32,0.06622,LSTM,25.0,1.2705282795511852,0.36,0.08,0.46722,LightGBM-H,25.0,1.2234081053091648,0.12,0.12,0.26822,LightGBM-X,25.0,1.225886125638668,0.12,0.04,0.126922,LogHAR,25.0,-2.6335942562571995,0.96,0.68,0.07022,Pooled-LGBM,25.0,-0.16224196568243884,0.52,0.16,0.047122,RF-H,25.0,-0.04864086907864308,0.52,0.16,0.047222,RF-X,25.0,0.009514605631339643,0.48,0.12,0.07322,RealGARCH,25.0,-1.3337760221296409,0.88,0.2,0.07422,Ridge-H,25.0,-2.596841788587312,0.96,0.64,0.07522,Ridge-X,25.0,-1.477009490268366,0.92,0.4,0.07622,SHAR,25.0,0.09342044223743724,0.44,0.08,0.087722,Transformer,25.0,2.105968548998468,0.12,0.08,0.67822,XGBoost-H,25.0,0.9670614451347115,0.12,0.12,0.087922,XGBoost-X,25.0,0.8382619291280237,0.16,0.08,0.0880