1\begin{table}[htbp]\centering\small2\caption{Main: mean WIS of the cumulative-return forecast by horizon (minutes)}3\label{tab:main_wis}4\begin{tabular}{lcccc}5\toprule6Model & $H=5$ & $H=15$ & $H=30$ & $H=60$ \\7\midrule8Random walk (trailing RMS) & 0.0007 {\scriptsize[0.0007, 0.0008]} & 0.0013 {\scriptsize[0.0012, 0.0013]} & 0.0017 {\scriptsize[0.0017, 0.0018]} & 0.0024 {\scriptsize[0.0023, 0.0024]} \\9Seasonal volatility & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0024]} \\10EWMA-$t$ & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0024]} \\11HAR-RV & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\12GARCH(1,1)-$t$ & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0024]} \\13Ridge & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\14Elastic net & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\15LightGBM & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\16MLP (1m) & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\17TCN (1m) & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\18MRPT-S (1m+5m+30m) & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\19MRPT-S (1m only) & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\20MRPT-B (1m+5m+30m) & 0.0007 {\scriptsize[0.0007, 0.0007]} & 0.0012 {\scriptsize[0.0012, 0.0012]} & 0.0017 {\scriptsize[0.0016, 0.0017]} & 0.0023 {\scriptsize[0.0022, 0.0023]} \\21\bottomrule22\end{tabular}23\begin{minipage}{0.95\textwidth}\scriptsize Cluster-bootstrap (trading-day) 95\% intervals in brackets.\end{minipage}24\end{table}