1\begin{tabular}{llrrrr}2\toprule3DGP & parameter & bias & RMSE & coverage 95\% & converged \\4\midrule5GARCH(1,1) $n=500$ & $\mu$ & -0.0005 & 0.0383 & 0.950 & 1000/1000 \\6GARCH(1,1) $n=500$ & $\omega$ & +0.0201 & 0.0487 & 0.954 & 1000/1000 \\7GARCH(1,1) $n=500$ & $\alpha$ & +0.0021 & 0.0304 & 0.896 & 1000/1000 \\8GARCH(1,1) $n=500$ & $\beta$ & -0.0256 & 0.0709 & 0.916 & 1000/1000 \\9GARCH(1,1) $n=2000$ & $\mu$ & +0.0001 & 0.0190 & 0.961 & 1000/1000 \\10GARCH(1,1) $n=2000$ & $\omega$ & +0.0034 & 0.0093 & 0.972 & 1000/1000 \\11GARCH(1,1) $n=2000$ & $\alpha$ & +0.0007 & 0.0137 & 0.932 & 1000/1000 \\12GARCH(1,1) $n=2000$ & $\beta$ & -0.0048 & 0.0196 & 0.936 & 1000/1000 \\13HAR $h=1$ (HAC) & $\beta_0,\beta_d,\beta_w,\beta_m$ & -- & -- & 0.945, 0.939, 0.946, 0.941 & 1000/1000 \\14HAR $h=5$ (HAC) & $\beta_0,\beta_d,\beta_w,\beta_m$ & -- & -- & 0.909, 0.936, 0.931, 0.900 & 1000/1000 \\15\bottomrule16\end{tabular}