Repository Public Research preview
1cls,h,model,qlike,mse,qlike_ratio2crypto,1,Comb-InvMSE,0.3267042688701962,0.00045233806655445194,0.62527915845090183crypto,1,Comb-Mean,0.3865784371657596,0.0004851460539947957,0.7398723031755344crypto,1,EGARCH,0.8623305943793318,0.0032845682875221106,1.65041415046279835crypto,1,ElasticNet-H,0.33343030990707434,0.0004525262052121349,0.6381521254733086crypto,1,ElasticNet-X,0.32557922545039875,0.0004440877849642666,0.62312593833784857crypto,1,GARCH,0.8345389424295788,0.0011364735300503858,1.59722371985349938crypto,1,GJR,0.835173618053749,0.0012082544353990015,1.59843842525524649crypto,1,HAR,0.5224934566499704,0.0004406249350009413,1.010crypto,1,HAR-CJ,0.4271754798290804,0.0004450296904232877,0.817570965515946111crypto,1,HAR-J,0.42638046250558004,0.0004394150700721928,0.816049382205414912crypto,1,HARQ,1.0010619191423973,0.0004540468995485946,1.91593197273861813crypto,1,LASSO-H,0.3338446284185597,0.00045256919364802535,0.638945089492688914crypto,1,LASSO-X,0.32870283356517216,0.0004445115592950674,0.629104210553544415crypto,1,LSTM,0.46127389182995804,0.0010989311877956536,0.882831901450921616crypto,1,LightGBM-H,0.3862935924256253,0.0006029450161036922,0.7393271389509717crypto,1,LightGBM-X,0.3488303569379778,0.0005848674910230035,0.667626268804485318crypto,1,LogHAR,0.34046235893870824,0.0004462637526620853,0.651610761064116619crypto,1,Pooled-LGBM,0.33859467183554487,0.0006074484956660122,0.648036195527663320crypto,1,RF-H,0.3543315667241271,0.0006307262618609471,0.678155031827511421crypto,1,RF-X,0.32611851473870423,0.0005353472471480014,0.624158083872767222crypto,1,RealGARCH,0.370215593431283,0.00045104156684927727,0.708555463651094923crypto,1,Ridge-H,0.33333351296780805,0.0004527021409138772,0.637966865853241424crypto,1,Ridge-X,0.3245356238454405,0.0004458515914881335,0.621128589678882625crypto,1,SHAR,0.49667237192332364,0.0004552705570151518,0.950581037144078826crypto,1,Transformer,0.733046424968992,0.0009375242839005177,1.402977234717937427crypto,1,XGBoost-H,0.39068891244145637,0.00048193401793038477,0.747739340022371428crypto,1,XGBoost-X,0.32903425574598416,0.0005336464161108825,0.629738519321613829crypto,5,Comb-InvMSE,0.3017374731456326,0.0003653044250784928,0.421438961607388130crypto,5,Comb-Mean,0.3729780864869868,0.0003748974076646542,0.520941253443586331crypto,5,EGARCH,0.802970349244449,0.0009557720106470539,1.121514628790482532crypto,5,ElasticNet-H,0.308984383457459,0.0004107589412668899,0.4315607748672344333crypto,5,ElasticNet-X,0.307450972414857,0.0003862726951553448,0.42941904831675234crypto,5,GARCH,0.7917640880384974,0.000849432584685973,1.105862760837515635crypto,5,GJR,0.7931627785447095,0.0008653649255368154,1.107816322217886736crypto,5,HAR,0.7159695724258422,0.00044275370883122553,1.037crypto,5,HAR-CJ,0.5498720636922111,0.00043700588947116596,0.768010380425999238crypto,5,HAR-J,0.5483237302377489,0.0004376926660586198,0.765847811632445439crypto,5,HARQ,0.878208275021332,0.0004420164743614575,1.226599996485596340crypto,5,LASSO-H,0.3102523006022496,0.00041248818802853743,0.433331684125982241crypto,5,LASSO-X,0.3106174911049744,0.00038679211533821273,0.4338417484035567742crypto,5,LSTM,0.4028350045770311,0.0009442343866517917,0.562642631881895243crypto,5,LightGBM-H,0.36674165442597484,0.0004984173719539615,0.51223078263421744crypto,5,LightGBM-X,0.4088477406016116,0.0004223649206910406,0.571040664781824545crypto,5,LogHAR,0.30732635609267894,0.00038832384926320765,0.4292449957774019446crypto,5,Pooled-LGBM,0.36962702209310294,0.0004370336636623515,0.51626079700668847crypto,5,RF-H,0.3269297287006655,0.0004446490312646729,0.4566251713644266548crypto,5,RF-X,0.33151739384503853,0.0004192945442021038,0.463032797220409849crypto,5,RealGARCH,0.3508516602308146,0.00034516884858308723,0.490037110155480350crypto,5,Ridge-H,0.3087452702036183,0.00041113180966973064,0.4312268036161510751crypto,5,Ridge-X,0.3070715172734949,0.0003865159988567326,0.4288890605128339352crypto,5,SHAR,0.6734293472090123,0.0004479264629175269,0.940583752640918153crypto,5,Transformer,0.6285880360187874,0.000716620071849696,0.877953561474701554crypto,5,XGBoost-H,0.35051199439317116,0.0005142190955613542,0.48956269636650855crypto,5,XGBoost-X,0.364638378557423,0.0004027076873468289,0.509293121664316356crypto,22,Comb-InvMSE,0.31361584939117215,0.00026756640540087433,0.646129014098544557crypto,22,Comb-Mean,0.40597014351759686,0.00028886799988657783,0.836402525872638958crypto,22,EGARCH,0.7833911667168066,0.0005172831330742237,1.61398654815079959crypto,22,ElasticNet-H,0.3331837519882969,0.00039668838134597397,0.68644390774183960crypto,22,ElasticNet-X,0.3139856660094374,0.0003441285015980862,0.646890931098022961crypto,22,GARCH,0.7963285770420573,0.000546512572139099,1.64064092864422962crypto,22,GJR,0.796782690460219,0.0005477800732129488,1.641576518652627263crypto,22,HAR,0.48537651544516613,0.00037159621047642397,1.064crypto,22,HAR-CJ,0.5597991854246087,0.00037593049686868656,1.153329771035966565crypto,22,HAR-J,0.49938997761944925,0.00037310324603292207,1.028871323041722866crypto,22,HARQ,0.7804810858533188,0.0003790811284554082,1.607991035861089467crypto,22,LASSO-H,0.33888901630290463,0.00039313771834090553,0.698198214209211268crypto,22,LASSO-X,0.32497268731172524,0.00033476286473868816,0.669527010415150669crypto,22,LSTM,0.3987709897658866,0.0005686001938272454,0.821570424354279470crypto,22,LightGBM-H,0.43170161716576966,0.00042278559976093483,0.889415955301899571crypto,22,LightGBM-X,0.45496730486102327,0.00030392844557217347,0.937349233808205972crypto,22,LogHAR,0.32538371681143785,0.00033764936587792163,0.670373836511249773crypto,22,Pooled-LGBM,0.37521679872277597,0.0002944826336581641,0.773042755022136874crypto,22,RF-H,0.37561546385857236,0.000388433261619599,0.773864107360188775crypto,22,RF-X,0.36346518118988486,0.00030579771801653047,0.74883141154147276crypto,22,RealGARCH,0.40401789759979556,0.000297106034727721,0.832380399017138277crypto,22,Ridge-H,0.3326346322543189,0.00039811799557027224,0.685312580377402478crypto,22,Ridge-X,0.3139588299862696,0.0003449386838177807,0.646835642013541479crypto,22,SHAR,0.4842737010238907,0.00037495627339157735,0.997727919694952880crypto,22,Transformer,0.5269659604585478,0.0006130340240272046,1.085684914061484281crypto,22,XGBoost-H,0.42871411414635785,0.00045302471386619305,0.883260933531487482crypto,22,XGBoost-X,0.43272742084810145,0.0003121160517670471,0.891529373750649683equity,1,Comb-InvMSE,0.1565356670415098,6.089116937890806e-08,0.739882011593797784equity,1,Comb-Mean,0.16288599572491708,6.174539004003628e-08,0.76989749655873785equity,1,EGARCH,0.3050305922185673,1.3522386394175108e-07,1.441758625581950686equity,1,ElasticNet-H,0.1611635614884834,6.199812566993699e-08,0.761756233089673187equity,1,ElasticNet-X,0.1512541891094666,5.693066395170664e-08,0.714918560193854988equity,1,GARCH,0.22568306267842994,7.04930969623365e-08,1.06671432493967589equity,1,GJR,0.2218886880829784,6.617299409318082e-08,1.048779821184191490equity,1,HAR,0.21156841846217148,6.30091804821402e-08,1.091equity,1,HAR-CJ,0.21970410695020007,6.407232079112966e-08,1.038454172636750492equity,1,HAR-J,0.21790421242094477,6.336270480673056e-08,1.029946785086480793equity,1,HARQ,0.37130875358994453,6.577082329920352e-08,1.75502920657477494equity,1,LASSO-H,0.16195727110501396,6.306803666604049e-08,0.765507783639135195equity,1,LASSO-X,0.1528798681174419,5.829812443254759e-08,0.722602500073879896equity,1,LSTM,0.306927462290312,8.427607885180901e-08,1.450724378058300697equity,1,LightGBM-H,0.2142450707586662,8.765992000960834e-08,1.012651473768866398equity,1,LightGBM-X,0.20028936777448747,7.736835144809661e-08,0.946688400992605199equity,1,LogHAR,0.16134248138896576,6.213449396552566e-08,0.7626019164945163100equity,1,Pooled-LGBM,0.16790038917186204,6.107987852448998e-08,0.793598545530947101equity,1,RF-H,0.1968042575977499,8.421051128116217e-08,0.9302156674812908102equity,1,RF-X,0.17753143458088183,7.743830654112288e-08,0.8391206772320063103equity,1,RealGARCH,0.16209148024814993,6.211985092865582e-08,0.7661421370275637104equity,1,Ridge-H,0.16110559514564224,6.191068027140223e-08,0.7614822491781683105equity,1,Ridge-X,0.15129789428953117,5.6407747061318045e-08,0.7151251372452987106equity,1,SHAR,0.21427680930930482,6.327974416763033e-08,1.0128014893093205107equity,1,Transformer,0.42772993783969016,1.0540198790951879e-07,2.021709766271985108equity,1,XGBoost-H,0.20050879062729807,8.671670993561568e-08,0.9477255257884774109equity,1,XGBoost-X,0.18555936586373306,7.323628544398081e-08,0.8770655242994652110equity,5,Comb-InvMSE,0.14198263886957563,5.132360298577218e-08,0.8369833236770843111equity,5,Comb-Mean,0.14763588220651558,5.169851064704767e-08,0.8703090206452454112equity,5,EGARCH,0.2325811663209305,7.14078136683774e-08,1.3710588784788305113equity,5,ElasticNet-H,0.14607102168735378,5.157416974661371e-08,0.8610842156349495114equity,5,ElasticNet-X,0.14027814880587286,4.9407235847619934e-08,0.8269354067623761115equity,5,GARCH,0.19275988047808013,5.460587418148794e-08,1.136313613542174116equity,5,GJR,0.18874817376988862,5.070006300352296e-08,1.1126647249106267117equity,5,HAR,0.16963616221863198,5.509658040193027e-08,1.0118equity,5,HAR-CJ,0.17180464722379868,5.6015772112912394e-08,1.0127831529362936119equity,5,HAR-J,0.1710688193122094,5.526879084067979e-08,1.008445469850532120equity,5,HARQ,0.35947854969380205,5.9251771121618496e-08,2.1191150813144177121equity,5,LASSO-H,0.14777290140283664,5.191135356349373e-08,0.8711167446265535122equity,5,LASSO-X,0.14102273194571788,4.961320618522323e-08,0.8313247016515483123equity,5,LSTM,0.2524265037974531,6.057506318979456e-08,1.4880465373421883124equity,5,LightGBM-H,0.20777200815016697,6.919599294479728e-08,1.2248096480889754125equity,5,LightGBM-X,0.20817614261495992,6.492241523797732e-08,1.2271920084271684126equity,5,LogHAR,0.14615640724968762,5.162934348681767e-08,0.861587560919452127equity,5,Pooled-LGBM,0.16112528983784663,5.2934875264532996e-08,0.9498286670160795128equity,5,RF-H,0.18683111175292175,6.326754736269638e-08,1.1013637028178487129equity,5,RF-X,0.1756272695540757,6.096307476927542e-08,1.035317394929757130equity,5,RealGARCH,0.1450313647392187,5.052814399137418e-08,0.8549554696497914131equity,5,Ridge-H,0.14583396831219933,5.1506445212698004e-08,0.8596867932218621132equity,5,Ridge-X,0.14055772326292038,4.94383807357623e-08,0.8285834896557347133equity,5,SHAR,0.17081490669408908,5.589382817112729e-08,1.0069486627146038134equity,5,Transformer,0.34750542565917353,7.463427682301076e-08,2.0485338804782587135equity,5,XGBoost-H,0.20568154989137427,7.607121454012892e-08,1.2124864604416479136equity,5,XGBoost-X,0.20274773221256687,6.389510218935725e-08,1.1951916947476078137equity,22,Comb-InvMSE,0.21936361199161425,4.2477455502662365e-08,0.8274814901621196138equity,22,Comb-Mean,0.22840576203765056,4.2575653810571907e-08,0.8615902091352993139equity,22,EGARCH,0.2594760405776217,4.553810618673955e-08,0.9787932409079083140equity,22,ElasticNet-H,0.22372115737774564,4.196994335669033e-08,0.8439189845889661141equity,22,ElasticNet-X,0.22506783772983727,4.350010646575767e-08,0.8489989203832555142equity,22,GARCH,0.24379641738965457,4.5485980221118104e-08,0.9196467040554082143equity,22,GJR,0.237112195548255,4.3395520308571415e-08,0.8944325411426141144equity,22,HAR,0.2650979080494437,4.294566957324578e-08,1.0145equity,22,HAR-CJ,0.2710643163946866,4.353202096066375e-08,1.0225064331482014146equity,22,HAR-J,0.2652873777147119,4.327904103406528e-08,1.0007147158069343147equity,22,HARQ,0.420398434251054,4.616369936962715e-08,1.5858232807051988148equity,22,LASSO-H,0.2268593538553218,4.272670726694959e-08,0.8557568617742921149equity,22,LASSO-X,0.2250730333613844,4.328554610992848e-08,0.8490185192989368150equity,22,LSTM,0.2884926602236878,4.9138434657237844e-08,1.0882494786412298151equity,22,LightGBM-H,0.3059108874410827,5.36942754967355e-08,1.1539543623408257152equity,22,LightGBM-X,0.32464915770125835,5.08444302136821e-08,1.2246387008105235153equity,22,LogHAR,0.22198733437940107,4.155946715375378e-08,0.8373786727053235154equity,22,Pooled-LGBM,0.2839892420213962,5.8916397315832176e-08,1.0712617240586788155equity,22,RF-H,0.2628884045023802,4.550696646621766e-08,0.9916653301290804156equity,22,RF-X,0.2632251302613868,4.582235487119167e-08,0.9929355240792483157equity,22,RealGARCH,0.2340733424098885,4.33085961269011e-08,0.8829694060287764158equity,22,Ridge-H,0.22327424283525202,4.191477992715605e-08,0.8422331374776781159equity,22,Ridge-X,0.2268558167302289,4.37813088465205e-08,0.8557435190620883160equity,22,SHAR,0.267868389943784,4.333394803044139e-08,1.0104507874646205161equity,22,Transformer,0.38937498647514146,5.176317492166669e-08,1.4687969035293884162equity,22,XGBoost-H,0.30493143531909606,5.4631127800891905e-08,1.1502596816502337163equity,22,XGBoost-X,0.3183636165044005,5.03317075877479e-08,1.2009284375228721164futures,1,Comb-InvMSE,0.1458255849465077,1.1944695546488514e-05,0.8243004389910176165futures,1,Comb-Mean,0.15284164405238593,1.1811649605413316e-05,0.8639597388531357166futures,1,EGARCH,0.2466371855536517,1.1906535904706805e-05,1.3941527503418591167futures,1,ElasticNet-H,0.15595596697665962,1.176576752473018e-05,0.8815639045047275168futures,1,ElasticNet-X,0.1380414143236981,1.1637979614518792e-05,0.7802992764795373169futures,1,GARCH,0.20702957064837055,1.1980380145539933e-05,1.170264916353148170futures,1,GJR,0.20383451668315314,1.196002812962133e-05,1.152204406689533171futures,1,HAR,0.176908294656503,1.1746404286850329e-05,1.0172futures,1,HAR-CJ,0.17747549085389686,1.1735224737988776e-05,1.0032061594313322173futures,1,HAR-J,0.17559099603882622,1.1752819942231369e-05,0.992553776971088174futures,1,HARQ,0.581311512599475,1.2152876692801539e-05,3.2859483142279355175futures,1,LASSO-H,0.1597542319830507,1.1846513258529216e-05,0.9030341527696042176futures,1,LASSO-X,0.1384493368158535,1.1637026210061745e-05,0.7826051180057781177futures,1,LSTM,0.3098742273102723,1.144537567276034e-05,1.7516093742916061178futures,1,LightGBM-H,0.2065668858098161,1.1988940443688119e-05,1.1676495226574888179futures,1,LightGBM-X,0.1817828032285394,1.1959626291700006e-05,1.0275538723693034180futures,1,LogHAR,0.1555880176460433,1.1757468977577538e-05,0.8794840171182668181futures,1,Pooled-LGBM,0.15626416334188256,1.185648859567951e-05,0.8833060295182626182futures,1,RF-H,0.18947613167996974,1.2185308364575107e-05,1.0710415362256998183futures,1,RF-X,0.179379716060182,1.250005461014511e-05,1.013970070812551184futures,1,RealGARCH,0.16044454726050156,1.1903761049416478e-05,0.9069362608012893185futures,1,Ridge-H,0.15554731482742207,1.1755586817254694e-05,0.8792539384851521186futures,1,Ridge-X,0.13772165481248544,1.1615010512086166e-05,0.7784917890927332187futures,1,SHAR,0.17712178703815545,1.1732745269710254e-05,1.0012067969004335188futures,1,Transformer,0.5481710798311427,1.2914674243845402e-05,3.098617172787225189futures,1,XGBoost-H,0.19918184811021558,1.2116949022843286e-05,1.1259045173487223190futures,1,XGBoost-X,0.17076743721384058,1.2099321630112446e-05,0.965287905495975191futures,5,Comb-InvMSE,0.1429709977534092,4.055412261117902e-06,0.7814888325302839192futures,5,Comb-Mean,0.1516224427868404,4.441352784459228e-06,0.8287781974022923193futures,5,EGARCH,0.2216647030891318,3.881752016625401e-06,1.211633777146015194futures,5,ElasticNet-H,0.15030191576543026,4.208788603245587e-06,0.8215601102622248195futures,5,ElasticNet-X,0.13548166030292716,4.069716434218271e-06,0.7405516237776578196futures,5,GARCH,0.19145544182211474,3.858424935902018e-06,1.046507977577336197futures,5,GJR,0.1857070104543797,3.7965235884869296e-06,1.0150866754318484198futures,5,HAR,0.18294694921039562,1.6549384732746136e-05,1.0199futures,5,HAR-CJ,0.18437594432519827,1.6314481968761972e-05,1.0078109808388183200futures,5,HAR-J,0.18357819667485636,1.632757489934606e-05,1.0034504399618864201futures,5,HARQ,0.6134319313170137,1.671697968421172e-05,3.353059091526827202futures,5,LASSO-H,0.15748827556745623,4.007875982759242e-06,0.8608412233556243203futures,5,LASSO-X,0.13700379727761253,4.077530964687286e-06,0.7488717241196146204futures,5,LSTM,0.2698010621341102,3.6541543907207103e-06,1.4747502666679029205futures,5,LightGBM-H,0.21261299173917808,4.215336959976625e-06,1.1621565303866612206futures,5,LightGBM-X,0.2024730671777794,3.844031875632354e-06,1.1067310389796554207futures,5,LogHAR,0.14928641519029315,4.22752533928464e-06,0.8160093176443646208futures,5,Pooled-LGBM,0.1549043593718479,3.526788900975093e-06,0.8467173682885648209futures,5,RF-H,0.21397202214841943,4.245773931061351e-06,1.1695850795650267210futures,5,RF-X,0.18367703648428219,4.0649101987301566e-06,1.0039907048302126211futures,5,RealGARCH,0.15848062574858662,3.890649552461219e-06,0.8662654744044306212futures,5,Ridge-H,0.14945117960433424,4.243158376553093e-06,0.8169099307169094213futures,5,Ridge-X,0.13471492991043132,4.059143503974476e-06,0.7363606252624868214futures,5,SHAR,0.18187209210062577,1.6470053447294042e-05,0.9941247606783882215futures,5,Transformer,0.4722280075020164,4.406965046407636e-06,2.5812292008156805216futures,5,XGBoost-H,0.20951006805314915,3.918180949651448e-06,1.1451957464029914217futures,5,XGBoost-X,0.19855145673162125,3.960607486669646e-06,1.0852952595742926218futures,22,Comb-InvMSE,0.24913129518101867,1.7416653271764815e-06,0.8427185887278971219futures,22,Comb-Mean,0.26434299384147375,1.7423454355471142e-06,0.8941741122821673220futures,22,EGARCH,0.3016696770760122,1.7131329564649964e-06,1.0204364102180716221futures,22,ElasticNet-H,0.2530338652475765,1.6867729210285599e-06,0.8559195329790467222futures,22,ElasticNet-X,0.24407576262394026,1.575906694698769e-06,0.8256176008384652223futures,22,GARCH,0.27018916830721607,1.6454938172713515e-06,0.913949547928049224futures,22,GJR,0.2673274765806782,1.6090054387591304e-06,0.9042695082870637225futures,22,HAR,0.29562809995337597,2.335556770744373e-06,1.0226futures,22,HAR-CJ,0.29406469141133224,2.341199169753626e-06,0.994711569900526227futures,22,HAR-J,0.2953100942046954,2.336618025871476e-06,0.9989243047304004228futures,22,HARQ,0.6628287925681449,2.46640642017295e-06,2.2421034829662023229futures,22,LASSO-H,0.26758122074543783,1.7222071451626295e-06,0.9051278304993285230futures,22,LASSO-X,0.2524526732565724,1.602684607941604e-06,0.8539535764576749231futures,22,LSTM,0.339322892362446,1.6669710763571917e-06,1.1478032447387823232futures,22,LightGBM-H,0.4026238808831069,2.3668712835443934e-06,1.3619269648135797233futures,22,LightGBM-X,0.40697241388640765,1.8934059975036278e-06,1.3766364359497354234futures,22,LogHAR,0.25029223153729097,1.6765403838032397e-06,0.8466456049907468235futures,22,Pooled-LGBM,0.29770397368630636,1.885448219391185e-06,1.0070219093964943236futures,22,RF-H,0.35450501762893327,2.0402588827316674e-06,1.1991587324914068237futures,22,RF-X,0.3511508536422572,1.859939597831051e-06,1.187812842208294238futures,22,RealGARCH,0.2767563393023531,1.6957004384524776e-06,0.9361638468941242239futures,22,Ridge-H,0.2514899816600914,1.684465242454508e-06,0.8506971485449263240futures,22,Ridge-X,0.24327976561516879,1.5703465435189606e-06,0.8229250387684286241futures,22,SHAR,0.2975135766740545,2.3343158070729525e-06,1.006377867059917242futures,22,Transformer,0.5676858972328727,1.933131100290162e-06,1.9202704253161436243futures,22,XGBoost-H,0.40666561604832985,2.1788486915232655e-06,1.37559865287659244futures,22,XGBoost-X,0.3982767070839713,1.8383878333883162e-06,1.3472220913600033245fx,1,Comb-InvMSE,0.14063994117435855,9.58637441761212e-10,0.8885650752029455246fx,1,Comb-Mean,0.15409683989837406,1.0164824293228853e-09,0.9735859457099884247fx,1,EGARCH,0.2861078498345629,1.1002312980128351e-08,1.8076333151279202248fx,1,ElasticNet-H,0.14479275460501756,9.628502217047897e-10,0.9148026073542324249fx,1,ElasticNet-X,0.1355219277045861,9.190245033597839e-10,0.8562293959806395250fx,1,GARCH,0.19598864998822418,1.159377333176635e-09,1.2382589758041007251fx,1,GJR,0.20931248640854533,1.2168550248999957e-09,1.322439156853358252fx,1,HAR,0.1582775928282313,1.0251851969806443e-09,1.0253fx,1,HAR-CJ,0.15476237120885655,9.922825804623052e-10,0.9777907816478507254fx,1,HAR-J,0.16930392608998907,1.001548005360289e-09,1.0696645246160899255fx,1,HARQ,0.25523627315138525,1.0011857159806187e-09,1.6125862706818967256fx,1,LASSO-H,0.14568287881991626,9.63611181319695e-10,0.9204264243392727257fx,1,LASSO-X,0.13617018311624435,9.097842428180059e-10,0.8603250825530387258fx,1,LSTM,0.31747980834957285,1.0307346546103306e-08,2.0058417788430334259fx,1,LightGBM-H,0.17578094927324334,1.2240264119431044e-09,1.110586445827536260fx,1,LightGBM-X,0.1612722925152831,1.0919663079323157e-09,1.0189205536522263261fx,1,LogHAR,0.14434043133387164,9.70431942936838e-10,0.9119448227299944262fx,1,Pooled-LGBM,0.14926834860433305,9.119590394021774e-10,0.9430794715606053263fx,1,RF-H,0.15315420068572094,1.1299360240900884e-09,0.9676303382496443264fx,1,RF-X,0.14578879486262203,1.1049901432055537e-09,0.92109560334821265fx,1,RealGARCH,0.1463408043339182,9.59962897424348e-10,0.9245832067507662266fx,1,Ridge-H,0.14462179944158676,9.622579629780896e-10,0.913722510289474267fx,1,Ridge-X,0.13490082387832852,8.874863540911901e-10,0.8523052534967971268fx,1,SHAR,0.16250740980321968,1.0229323353379571e-09,1.026724041599361269fx,1,Transformer,0.2821954043652111,1.4317812953546608e-09,1.7829144310493779270fx,1,XGBoost-H,0.1669727063194781,1.152494084827789e-09,1.0549358461666969271fx,1,XGBoost-X,0.15378688333032392,1.1260450026672514e-09,0.9716276358664307272fx,5,Comb-InvMSE,0.09614710318483319,5.709637262427486e-10,0.8398418812941564273fx,5,Comb-Mean,0.10469577185876937,5.845912173158442e-10,0.9145142296422606274fx,5,EGARCH,0.18413704953526727,2.1727528280808574e-09,1.608431257677755275fx,5,ElasticNet-H,0.09732437161256358,5.587209296396474e-10,0.8501252834808305276fx,5,ElasticNet-X,0.0974297532160104,5.472186415634458e-10,0.8510457884275312277fx,5,GARCH,0.14232390514023083,6.841677379601804e-10,1.2431947743274059278fx,5,GJR,0.15579449631507133,7.236005093016196e-10,1.3608599588174064279fx,5,HAR,0.11448238689487011,6.200259993358046e-10,1.0280fx,5,HAR-CJ,0.11025936975516584,5.952620424479196e-10,0.9631120799081321281fx,5,HAR-J,0.11539425512082398,6.122859817307698e-10,1.0079651398847165282fx,5,HARQ,0.119231574157227,6.018490463297817e-10,1.0414839993397247283fx,5,LASSO-H,0.09844103786801192,5.597538997134272e-10,0.8598793276245275284fx,5,LASSO-X,0.09995777126023664,5.879929870701043e-10,0.873127945454426285fx,5,LSTM,0.23801814789616332,1.3516200516450606e-09,2.0790809342116257286fx,5,LightGBM-H,0.12538316654876677,7.561349907812105e-10,1.0952179627762908287fx,5,LightGBM-X,0.120838791760953,6.984149465403701e-10,1.0555229938725859288fx,5,LogHAR,0.09675594830498856,5.599149133305085e-10,0.8451601240096448289fx,5,Pooled-LGBM,0.09951930198328665,5.812661973768225e-10,0.8692979302980103290fx,5,RF-H,0.10462360839870426,6.351924057208684e-10,0.9138838841190546291fx,5,RF-X,0.10254459656431299,6.365634193509484e-10,0.8957237820214242292fx,5,RealGARCH,0.09461905742981737,5.322507540883586e-10,0.8264944503358987293fx,5,Ridge-H,0.09719056652395172,5.584947377889072e-10,0.8489565002973114294fx,5,Ridge-X,0.09669260683095397,5.461790973775104e-10,0.8446068382531838295fx,5,SHAR,0.11216932717819197,6.056082380247992e-10,0.979795497111689296fx,5,Transformer,0.2014781341597657,8.357504136192931e-10,1.7599050790649948297fx,5,XGBoost-H,0.1234817190486824,7.252646183466709e-10,1.0786088794783466298fx,5,XGBoost-X,0.11654167030969151,6.793846203084034e-10,1.0179877749816299fx,22,Comb-InvMSE,0.11329955568447603,4.003385785294327e-10,0.8798233396633209300fx,22,Comb-Mean,0.12104759587721876,4.1090042669772346e-10,0.9399904476192313301fx,22,EGARCH,0.17321934166405564,7.181743844223197e-10,1.3451281318487376302fx,22,ElasticNet-H,0.11747674983558283,3.999366936456223e-10,0.9122611800965508303fx,22,ElasticNet-X,0.1240358059740064,4.2379394290570653e-10,0.9631952781332453304fx,22,GARCH,0.1505737731348685,4.78959808646164e-10,1.1692748408842968305fx,22,GJR,0.16336598093492585,4.852976268547141e-10,1.2686122382846625306fx,22,HAR,0.12877534679613295,4.326138721281962e-10,1.0307fx,22,HAR-CJ,0.12571971939002977,4.2277297096919245e-10,0.9762716429648556308fx,22,HAR-J,0.12877291497715415,4.295481957254015e-10,0.9999811158033016309fx,22,HARQ,0.12813499217788318,4.2446797710698914e-10,0.9950273508541699310fx,22,LASSO-H,0.11884744688039706,4.0177167163121174e-10,0.9229052752507593311fx,22,LASSO-X,0.12497591669439605,4.271200838535211e-10,0.9704956717549993312fx,22,LSTM,0.20053388781057535,6.068482830859183e-10,1.5572381888285256313fx,22,LightGBM-H,0.15228132699779987,4.87423373766466e-10,1.1825347846966372314fx,22,LightGBM-X,0.15265512255637592,5.059682261182075e-10,1.1854374797223226315fx,22,LogHAR,0.1173311880186139,3.9787738327241247e-10,0.9111308254084026316fx,22,Pooled-LGBM,0.13304607284881503,6.001269584512353e-10,1.033164158815609317fx,22,RF-H,0.12602049570565482,4.2276119538100347e-10,0.9786073098693386318fx,22,RF-X,0.12289191503618799,4.184709673511313e-10,0.9543124370749383319fx,22,RealGARCH,0.11747024260063103,3.925462069216373e-10,0.9122106484139447320fx,22,Ridge-H,0.11745893779018983,3.9970856756851386e-10,0.9121228613434963321fx,22,Ridge-X,0.12583795154318111,4.267248315193764e-10,0.9771897702003312322fx,22,SHAR,0.12705775446499407,4.2636508706587073e-10,0.9866621028490955323fx,22,Transformer,0.2278364312390302,6.404256862817759e-10,1.7692550391630706324fx,22,XGBoost-H,0.1469048352209376,4.824184712776389e-10,1.1407838447020908325fx,22,XGBoost-X,0.14610718106322587,4.704429032738429e-10,1.1345896920357847326