1\begin{table}[htbp]\centering\small2\caption{Main (held-out instruments): mean log score of the cumulative-return forecast by horizon (minutes)}3\label{tab:main_logscore_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) & nan & nan & nan & nan \\10Seasonal volatility & nan & nan & nan & nan \\11EWMA-$t$ & -5.4071 {\scriptsize[-5.4277, -5.3858]} & -4.8711 {\scriptsize[-4.8931, -4.8473]} & -4.5403 {\scriptsize[-4.5640, -4.5155]} & -4.2117 {\scriptsize[-4.2404, -4.1843]} \\12HAR-RV & -5.3943 {\scriptsize[-5.4141, -5.3728]} & -4.8817 {\scriptsize[-4.9041, -4.8574]} & -4.5553 {\scriptsize[-4.5800, -4.5302]} & -4.2330 {\scriptsize[-4.2629, -4.2041]} \\13GARCH(1,1)-$t$ & -5.4003 {\scriptsize[-5.4210, -5.3782]} & -4.8671 {\scriptsize[-4.8894, -4.8436]} & -4.5354 {\scriptsize[-4.5590, -4.5116]} & -4.2023 {\scriptsize[-4.2303, -4.1761]} \\14Ridge & -5.3791 {\scriptsize[-5.4021, -5.3553]} & -4.8798 {\scriptsize[-4.9035, -4.8544]} & -4.5573 {\scriptsize[-4.5826, -4.5319]} & -4.2376 {\scriptsize[-4.2686, -4.2078]} \\15Elastic net & -5.3791 {\scriptsize[-5.4021, -5.3553]} & -4.8797 {\scriptsize[-4.9034, -4.8543]} & -4.5573 {\scriptsize[-4.5825, -4.5319]} & -4.2376 {\scriptsize[-4.2686, -4.2079]} \\16LightGBM & -5.3579 {\scriptsize[-5.3805, -5.3341]} & -4.8829 {\scriptsize[-4.9062, -4.8582]} & -4.5590 {\scriptsize[-4.5840, -4.5335]} & -4.2395 {\scriptsize[-4.2701, -4.2101]} \\17MLP (1m) & nan & nan & nan & nan \\18TCN (1m) & nan & nan & nan & nan \\19MRPT-S (1m+5m+30m) & nan & nan & nan & nan \\20MRPT-S (1m only) & nan & nan & nan & nan \\21MRPT-B (1m+5m+30m) & nan & nan & nan & nan \\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}