spb/wp12_uqo

1h,model,med_beta,med_r2,pct_reject21,Comb-InvMSE,1.2223240472488464,0.44996303670476423,0.5631,Comb-Mean,1.2737492329148168,0.4240226459905484,0.8841,EGARCH,0.5354869038860437,0.1016744869317937,0.9251,ElasticNet-H,1.2160330078176225,0.43975124849843183,0.2861,ElasticNet-X,1.1285280122961805,0.4614806198566884,0.2871,GARCH,1.082331348385903,0.2903904253216194,0.6481,GJR,1.043248794466632,0.28932062326695196,0.6491,HAR,1.0255607998286158,0.40314717198473593,0.4101,HAR-CJ,1.0097180574457885,0.39386111895546994,0.36111,HAR-J,1.0145400889238636,0.39868156897340745,0.4121,HARQ,0.9398054892454344,0.38295180988070565,0.32131,LASSO-H,1.2485440032886286,0.4366301935357435,0.48141,LASSO-X,1.1008914176777815,0.4559136049076984,0.4151,LSTM,0.8589863312152081,0.1566566790469912,0.92161,LightGBM-H,0.8661252587076754,0.21299912319873981,0.92171,LightGBM-X,1.1675153591637826,0.2683105073495443,0.96181,LogHAR,1.235401932344848,0.438946410302825,0.36191,Pooled-LGBM,1.0465001265519673,0.4408164717319939,0.84201,RF-H,1.140108408028128,0.2325864821136885,0.6211,RF-X,1.3244626618640651,0.28613446099823026,0.92221,RealGARCH,1.2882195603448479,0.44500816372442387,0.52231,Ridge-H,1.201100572313885,0.4372869888000217,0.28241,Ridge-X,1.0858315420718894,0.46159679939553877,0.2251,SHAR,1.0173862990313394,0.38819546187608933,0.44261,Transformer,0.9007469395729403,0.027574896987939135,0.92271,XGBoost-H,0.8705938021192131,0.20450512631431372,0.92281,XGBoost-X,1.1454139176364153,0.31109045336269736,0.92295,Comb-InvMSE,1.1621433575325182,0.360156067800635,0.24305,Comb-Mean,1.1600608162478923,0.3260464647160807,0.28315,EGARCH,0.7746350911791539,0.1511847350602884,0.72325,ElasticNet-H,1.0906059340486123,0.36442911456404115,0.28335,ElasticNet-X,1.0004019993327995,0.39373984330372946,0.28345,GARCH,0.9815387071536325,0.27678557022624806,0.36355,GJR,0.973393987469951,0.24844653586811738,0.44365,HAR,0.847274664918918,0.3040681496581159,0.44375,HAR-CJ,0.878735920680484,0.3090713382100575,0.44385,HAR-J,0.828741079236412,0.30364782415682257,0.48395,HARQ,0.8187612237361567,0.25913245616166236,0.6405,LASSO-H,1.1048919079517605,0.3730831841658384,0.28415,LASSO-X,1.0073371438102205,0.3858588904477279,0.24425,LSTM,0.9716897971933561,0.16359989687329113,0.6435,LightGBM-H,0.6939957853310627,0.17137850435165725,0.96445,LightGBM-X,0.8792557632609399,0.19817582162549607,0.84455,LogHAR,1.0886016522415032,0.36983935123781064,0.24465,Pooled-LGBM,0.9146327496436848,0.35192004238330576,0.68475,RF-H,1.0150311900005733,0.21870106905268838,0.56485,RF-X,1.1412024249447896,0.24546158886878455,0.52495,RealGARCH,1.2874295213169735,0.4018002795016693,0.28505,Ridge-H,1.0811922227340405,0.3607055154792057,0.28515,Ridge-X,0.9888779057681047,0.3890814572191197,0.24525,SHAR,0.8500976209556091,0.28678726247446884,0.44535,Transformer,0.7953104966592441,0.03693339509928906,0.68545,XGBoost-H,0.6569883370137419,0.15891580869455446,0.92555,XGBoost-X,0.951064654634405,0.1899345592889009,0.765622,Comb-InvMSE,1.0060942410960068,0.1742655968500415,0.125722,Comb-Mean,0.9921002052099573,0.16512558537960875,0.245822,EGARCH,0.7589456707576658,0.1249963368492093,0.485922,ElasticNet-H,0.8703018741779354,0.19023441336476177,0.166022,ElasticNet-X,0.8023800002158686,0.17440964065433007,0.326122,GARCH,0.6952679146494609,0.1458075275077403,0.66222,GJR,0.7663698811356293,0.1707789613774181,0.566322,HAR,0.8542313426553363,0.1786695372907008,0.366422,HAR-CJ,0.8314093636149422,0.18210530022332083,0.366522,HAR-J,0.820867634281859,0.17417520753411786,0.366622,HARQ,0.7124652789729082,0.14258167370400132,0.66722,LASSO-H,0.9034585902782912,0.19308574708665704,0.26822,LASSO-X,0.8639416873930433,0.1743484420780621,0.246922,LSTM,0.5138382226283833,0.07812567526460268,0.647022,LightGBM-H,0.5721137101972524,0.08721804399559852,0.967122,LightGBM-X,0.5201876382057431,0.06386832946327581,0.967222,LogHAR,0.9427448877028969,0.19446151048202143,0.167322,Pooled-LGBM,0.4110354581655746,0.12173048391966612,0.967422,RF-H,0.7792653362494298,0.149673777400937,0.487522,RF-X,0.8452642208948101,0.13566335143620112,0.367622,RealGARCH,1.0763425639090376,0.19752336974063256,0.127722,Ridge-H,0.8619986885983164,0.1911798077734418,0.27822,Ridge-X,0.7825417819779944,0.1680347958516033,0.367922,SHAR,0.8427573826621996,0.16558688088032192,0.368022,Transformer,0.3016834284652678,0.009492062159358605,0.68122,XGBoost-H,0.6385209131930583,0.08868775522175876,0.888222,XGBoost-X,0.6375409037147258,0.07956870495011859,0.8483