spb/wp12_uqo

1\begin{tabular}{lrrr rrr rrr}2\toprule3 & \multicolumn{3}{c}{Sig.\ better than HAR (\%)} & \multicolumn{3}{c}{Sig.\ worse than HAR (\%)} & \multicolumn{3}{c}{In 90\% MCS (\%)} \\4\cmidrule(lr){2-4}\cmidrule(lr){5-7}\cmidrule(lr){8-10}5Model & $h{=}1$ & $h{=}5$ & $h{=}22$ & $h{=}1$ & $h{=}5$ & $h{=}22$ & $h{=}1$ & $h{=}5$ & $h{=}22$ \\6\midrule7\multicolumn{10}{l}{\itshape A. GARCH family}\\8\quad GARCH & 4 & 4 & 8 & 80 & 64 & 20 & 24 & 48 & 80 \\9\quad GJR & 4 & 4 & 8 & 76 & 52 & 20 & 36 & 60 & 76 \\10\quad EGARCH & 0 & 0 & 0 & 92 & 64 & 24 & 24 & 52 & 76 \\11\quad RealGARCH & 68 & 68 & 20 & 0 & 0 & 0 & 92 & 96 & 96 \\12\multicolumn{10}{l}{\itshape B. HAR family}\\13\quad HAR & --- & --- & --- & --- & --- & --- & 76 & 72 & 88 \\14\quad HAR-J & 12 & 8 & 0 & 4 & 12 & 8 & 72 & 72 & 88 \\15\quad HAR-CJ & 20 & 16 & 12 & 36 & 16 & 4 & 72 & 76 & 88 \\16\quad SHAR & 8 & 20 & 8 & 28 & 20 & 8 & 72 & 72 & 88 \\17\quad HARQ & 4 & 8 & 12 & 20 & 4 & 0 & 84 & 84 & 88 \\18\quad LogHAR & 84 & 88 & 68 & 0 & 0 & 0 & 100 & 100 & 100 \\19\multicolumn{10}{l}{\itshape C. Machine learning --- HAR information set}\\20\quad Ridge-H & 88 & 88 & 64 & 0 & 0 & 0 & 92 & 100 & 100 \\21\quad LASSO-H & 84 & 84 & 60 & 0 & 0 & 0 & 96 & 100 & 100 \\22\quad ElasticNet-H & 88 & 88 & 64 & 0 & 0 & 0 & 92 & 100 & 100 \\23\quad RF-H & 20 & 24 & 16 & 24 & 8 & 4 & 88 & 100 & 100 \\24\quad XGBoost-H & 8 & 8 & 12 & 48 & 32 & 8 & 48 & 68 & 80 \\25\quad LightGBM-H & 8 & 8 & 12 & 64 & 48 & 20 & 32 & 32 & 52 \\26\multicolumn{10}{l}{\itshape D. Machine learning --- extended information set}\\27\quad Ridge-X & 96 & 88 & 40 & 0 & 0 & 0 & 100 & 100 & 100 \\28\quad LASSO-X & 88 & 84 & 32 & 0 & 0 & 0 & 100 & 100 & 100 \\29\quad ElasticNet-X & 96 & 88 & 36 & 0 & 0 & 0 & 100 & 100 & 100 \\30\quad RF-X & 44 & 28 & 12 & 4 & 4 & 0 & 100 & 100 & 100 \\31\quad XGBoost-X & 24 & 8 & 8 & 16 & 8 & 8 & 92 & 92 & 84 \\32\quad LightGBM-X & 16 & 8 & 4 & 32 & 36 & 12 & 68 & 80 & 56 \\33\multicolumn{10}{l}{\itshape E. Deep learning and pooled}\\34\quad LSTM & 4 & 8 & 8 & 80 & 84 & 40 & 20 & 36 & 52 \\35\quad Transformer & 0 & 4 & 8 & 88 & 88 & 60 & 20 & 28 & 40 \\36\quad Pooled-LGBM & 60 & 16 & 16 & 0 & 0 & 4 & 100 & 100 & 96 \\37\multicolumn{10}{l}{\itshape F. Forecast combinations}\\38\quad Comb-Mean & 76 & 76 & 60 & 4 & 0 & 0 & 92 & 96 & 88 \\39\quad Comb-InvMSE & 96 & 88 & 84 & 0 & 0 & 0 & 100 & 100 & 100 \\40\bottomrule41\end{tabular}42