1\begin{table}[htbp]\centering\small2\caption{Main (held-out instruments): mean scaled CRPS of the cumulative-return forecast by horizon (minutes)}3\label{tab:main_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) & 0.4744 {\scriptsize[0.4686, 0.4803]} & 0.4653 {\scriptsize[0.4584, 0.4716]} & 0.4541 {\scriptsize[0.4468, 0.4617]} & 0.4415 {\scriptsize[0.4316, 0.4521]} \\10Seasonal volatility & 0.4623 {\scriptsize[0.4562, 0.4686]} & 0.4531 {\scriptsize[0.4458, 0.4602]} & 0.4419 {\scriptsize[0.4342, 0.4500]} & 0.4289 {\scriptsize[0.4184, 0.4399]} \\11EWMA-$t$ & 0.4593 {\scriptsize[0.4533, 0.4655]} & 0.4508 {\scriptsize[0.4435, 0.4579]} & 0.4404 {\scriptsize[0.4327, 0.4485]} & 0.4287 {\scriptsize[0.4184, 0.4398]} \\12HAR-RV & 0.4616 {\scriptsize[0.4556, 0.4677]} & 0.4490 {\scriptsize[0.4414, 0.4563]} & 0.4378 {\scriptsize[0.4299, 0.4461]} & 0.4248 {\scriptsize[0.4142, 0.4360]} \\13GARCH(1,1)-$t$ & 0.4607 {\scriptsize[0.4545, 0.4670]} & 0.4517 {\scriptsize[0.4443, 0.4591]} & 0.4415 {\scriptsize[0.4339, 0.4496]} & 0.4306 {\scriptsize[0.4203, 0.4414]} \\14Ridge & 0.4621 {\scriptsize[0.4554, 0.4689]} & 0.4494 {\scriptsize[0.4416, 0.4568]} & 0.4376 {\scriptsize[0.4296, 0.4461]} & 0.4242 {\scriptsize[0.4136, 0.4355]} \\15Elastic net & 0.4621 {\scriptsize[0.4554, 0.4689]} & 0.4494 {\scriptsize[0.4417, 0.4569]} & 0.4376 {\scriptsize[0.4296, 0.4461]} & 0.4242 {\scriptsize[0.4135, 0.4354]} \\16LightGBM & 0.4647 {\scriptsize[0.4581, 0.4715]} & 0.4496 {\scriptsize[0.4419, 0.4571]} & 0.4382 {\scriptsize[0.4302, 0.4467]} & 0.4248 {\scriptsize[0.4142, 0.4359]} \\17MLP (1m) & 0.4582 {\scriptsize[0.4520, 0.4646]} & 0.4499 {\scriptsize[0.4428, 0.4569]} & 0.4393 {\scriptsize[0.4317, 0.4470]} & 0.4264 {\scriptsize[0.4162, 0.4371]} \\18TCN (1m) & 0.4578 {\scriptsize[0.4516, 0.4641]} & 0.4497 {\scriptsize[0.4425, 0.4567]} & 0.4392 {\scriptsize[0.4316, 0.4471]} & 0.4265 {\scriptsize[0.4164, 0.4373]} \\19MRPT-S (1m+5m+30m) & 0.4571 {\scriptsize[0.4510, 0.4634]} & 0.4488 {\scriptsize[0.4415, 0.4559]} & 0.4381 {\scriptsize[0.4304, 0.4460]} & 0.4250 {\scriptsize[0.4150, 0.4357]} \\20MRPT-S (1m only) & 0.4573 {\scriptsize[0.4511, 0.4636]} & 0.4490 {\scriptsize[0.4417, 0.4561]} & 0.4384 {\scriptsize[0.4307, 0.4463]} & 0.4255 {\scriptsize[0.4154, 0.4364]} \\21MRPT-B (1m+5m+30m) & 0.4573 {\scriptsize[0.4512, 0.4635]} & 0.4490 {\scriptsize[0.4417, 0.4561]} & 0.4383 {\scriptsize[0.4306, 0.4462]} & 0.4253 {\scriptsize[0.4151, 0.4362]} \\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}