spb/wp12_uqo

1\begin{tabular}{lcc cc}2\toprule3 & \multicolumn{2}{c}{All crypto days ($N=10,951$)} & \multicolumn{2}{c}{Excl.\ days $>$500\% ann.\ ($N=10,802$)} \\4\cmidrule(lr){2-3}\cmidrule(lr){4-5}5Model & QLIKE & Ratio & QLIKE & Ratio \\6\midrule7\multicolumn{5}{l}{\itshape A. GARCH family}\\8\quad GARCH & 0.992 & 1.671 & 0.710 & 1.303 \\9\quad GJR & 0.992 & 1.670 & 0.710 & 1.303 \\10\quad EGARCH & 1.022 & 1.722 & 0.741 & 1.361 \\11\quad RealGARCH & 0.367 & 0.618 & 0.299 & 0.549 \\12\multicolumn{5}{l}{\itshape B. HAR family}\\13\quad HAR & 0.594 & 1.000 & 0.545 & 1.000 \\14\quad HAR-J & 0.440 & 0.742 & 0.390 & 0.716 \\15\quad HAR-CJ & 0.441 & 0.743 & 0.393 & 0.721 \\16\quad SHAR & 0.539 & 0.908 & 0.412 & 0.757 \\17\quad HARQ & 1.323 & 2.229 & 1.267 & 2.326 \\18\quad LogHAR & 0.341 & 0.574 & 0.272 & 0.499 \\19\multicolumn{5}{l}{\itshape C. Machine learning --- HAR information set}\\20\quad Ridge-H & 0.335 & 0.564 & 0.273 & 0.502 \\21\quad LASSO-H & 0.335 & 0.565 & 0.274 & 0.503 \\22\quad ElasticNet-H & 0.335 & 0.564 & 0.274 & 0.502 \\23\quad RF-H & 0.364 & 0.612 & 0.275 & 0.506 \\24\quad XGBoost-H & 0.388 & 0.654 & 0.309 & 0.568 \\25\quad LightGBM-H & 0.389 & 0.656 & 0.311 & 0.570 \\26\multicolumn{5}{l}{\itshape D. Machine learning --- extended information set}\\27\quad Ridge-X & 0.326 & 0.549 & 0.268 & 0.491 \\28\quad LASSO-X & 0.330 & 0.556 & 0.271 & 0.497 \\29\quad ElasticNet-X & 0.327 & 0.551 & 0.268 & 0.492 \\30\quad RF-X & 0.330 & 0.556 & 0.252 & 0.462 \\31\quad XGBoost-X & 0.334 & 0.563 & 0.255 & 0.467 \\32\quad LightGBM-X & 0.361 & 0.608 & 0.271 & 0.498 \\33\multicolumn{5}{l}{\itshape E. Deep learning and pooled}\\34\quad LSTM & 0.481 & 0.811 & 0.401 & 0.737 \\35\quad Transformer & 0.862 & 1.453 & 0.539 & 0.989 \\36\quad Pooled-LGBM & 0.349 & 0.588 & 0.260 & 0.477 \\37\multicolumn{5}{l}{\itshape F. Forecast combinations}\\38\quad Comb-Mean & 0.403 & 0.678 & 0.347 & 0.637 \\39\quad Comb-InvMSE & 0.331 & 0.557 & 0.272 & 0.500 \\40\bottomrule41\end{tabular}42