1\begin{table}[htbp]\centering\small2\caption{Final (held-out instruments): mean scaled CRPS of the cumulative-return forecast by horizon (minutes)}3\label{tab:final_crps_scaled_heldout}4\begin{adjustbox}{max width=\textwidth}5\begin{tabular}{lcccc}6\toprule7Model & $H=5$ & $H=15$ & $H=30$ & $H=60$ \\8\midrule9Random walk (trailing RMS) & 0.4813 {\scriptsize[0.4728, 0.4897]} & 0.4682 {\scriptsize[0.4598, 0.4771]} & 0.4586 {\scriptsize[0.4495, 0.4679]} & 0.4471 {\scriptsize[0.4369, 0.4580]} \\10Seasonal volatility & 0.4705 {\scriptsize[0.4614, 0.4794]} & 0.4563 {\scriptsize[0.4478, 0.4658]} & 0.4468 {\scriptsize[0.4367, 0.4569]} & 0.4351 {\scriptsize[0.4236, 0.4474]} \\11EWMA-$t$ & 0.4666 {\scriptsize[0.4576, 0.4754]} & 0.4533 {\scriptsize[0.4447, 0.4626]} & 0.4449 {\scriptsize[0.4351, 0.4551]} & 0.4346 {\scriptsize[0.4235, 0.4465]} \\12HAR-RV & 0.4688 {\scriptsize[0.4600, 0.4774]} & 0.4518 {\scriptsize[0.4428, 0.4614]} & 0.4424 {\scriptsize[0.4323, 0.4529]} & 0.4308 {\scriptsize[0.4192, 0.4432]} \\13GARCH(1,1)-$t$ & 0.4677 {\scriptsize[0.4588, 0.4766]} & 0.4538 {\scriptsize[0.4451, 0.4632]} & 0.4455 {\scriptsize[0.4358, 0.4555]} & 0.4360 {\scriptsize[0.4250, 0.4481]} \\14Ridge & 0.4691 {\scriptsize[0.4594, 0.4786]} & 0.4517 {\scriptsize[0.4426, 0.4614]} & 0.4420 {\scriptsize[0.4318, 0.4526]} & 0.4303 {\scriptsize[0.4187, 0.4428]} \\15Elastic net & 0.4691 {\scriptsize[0.4595, 0.4786]} & 0.4517 {\scriptsize[0.4427, 0.4614]} & 0.4421 {\scriptsize[0.4319, 0.4526]} & 0.4302 {\scriptsize[0.4186, 0.4427]} \\16LightGBM & 0.4722 {\scriptsize[0.4623, 0.4817]} & 0.4521 {\scriptsize[0.4430, 0.4619]} & 0.4428 {\scriptsize[0.4324, 0.4533]} & 0.4311 {\scriptsize[0.4196, 0.4438]} \\17MLP (1m) & 0.4651 {\scriptsize[0.4562, 0.4740]} & 0.4524 {\scriptsize[0.4438, 0.4618]} & 0.4433 {\scriptsize[0.4335, 0.4533]} & 0.4321 {\scriptsize[0.4207, 0.4443]} \\18TCN (1m) & 0.4650 {\scriptsize[0.4562, 0.4738]} & 0.4526 {\scriptsize[0.4441, 0.4619]} & 0.4436 {\scriptsize[0.4340, 0.4536]} & 0.4326 {\scriptsize[0.4213, 0.4447]} \\19MRPT-S (1m+5m+30m) & 0.4644 {\scriptsize[0.4556, 0.4732]} & 0.4518 {\scriptsize[0.4432, 0.4611]} & 0.4428 {\scriptsize[0.4330, 0.4528]} & 0.4316 {\scriptsize[0.4202, 0.4437]} \\20MRPT-S (1m only) & 0.4644 {\scriptsize[0.4556, 0.4733]} & 0.4518 {\scriptsize[0.4433, 0.4611]} & 0.4428 {\scriptsize[0.4330, 0.4529]} & 0.4317 {\scriptsize[0.4203, 0.4438]} \\21MRPT-B (1m+5m+30m) & 0.4646 {\scriptsize[0.4558, 0.4735]} & 0.4519 {\scriptsize[0.4434, 0.4613]} & 0.4429 {\scriptsize[0.4331, 0.4529]} & 0.4317 {\scriptsize[0.4203, 0.4438]} \\22\bottomrule23\end{tabular}24\end{adjustbox}25\begin{minipage}{0.95\textwidth}\scriptsize Cluster-bootstrap (trading-day) 95\% intervals in brackets.\end{minipage}26\end{table}