spb/wp46_uqo

1\begin{tabular}{lrrrrr}2\toprule3Model & Failed (\%) & Inadmissible (\%) & Coverage (\%) & Median refit (s) & Iterations \\4\midrule5EGARCH(1,1)-GED & 0.0 & 0.3 & 100.0 & 0.069 & 88 \\6EGARCH(1,1)-N & 0.0 & 0.5 & 100.0 & 0.047 & 76 \\7EGARCH(1,1)-skt & 0.3 & 0.3 & 100.0 & 0.099 & 99 \\8EGARCH(1,1)-t & 0.1 & 0.3 & 100.0 & 0.068 & 97 \\9EGARCH(1,1), constrained-GED & 0.0 & 0.0 & 100.0 & 0.088 & 72 \\10EGARCH(1,1), constrained-N & 0.0 & 0.0 & 100.0 & 0.057 & 65 \\11EGARCH(1,1), constrained-skt & 0.0 & 0.0 & 100.0 & 0.127 & 84 \\12EGARCH(1,1), constrained-t & 0.0 & 0.0 & 100.0 & 0.088 & 78 \\13GJR-GARCH(1,1)-GED & 0.0 & 2.2 & 100.0 & 0.066 & 83 \\14GJR-GARCH(1,1)-N & 0.0 & 2.9 & 100.0 & 0.042 & 72 \\15GJR-GARCH(1,1)-skt & 0.0 & 4.2 & 100.0 & 0.098 & 100 \\16GJR-GARCH(1,1)-t & 0.0 & 4.1 & 100.0 & 0.071 & 97 \\17NAGARCH(1,1)-GED & 0.0 & 0.3 & 100.0 & 0.025 & 60 \\18NAGARCH(1,1)-N & 0.1 & 0.2 & 100.0 & 0.014 & 51 \\19NAGARCH(1,1)-skt & 0.7 & 0.2 & 100.0 & 0.040 & 73 \\20NAGARCH(1,1)-t & 0.0 & 0.2 & 100.0 & 0.023 & 60 \\21QGARCH(1,1)-GED & 0.0 & 0.1 & 100.0 & 0.027 & 71 \\22QGARCH(1,1)-N & 0.0 & 0.1 & 100.0 & 0.014 & 58 \\23QGARCH(1,1)-skt & 0.3 & 0.3 & 100.0 & 0.042 & 88 \\24QGARCH(1,1)-t & 0.0 & 0.2 & 100.0 & 0.025 & 72 \\25TGARCH(1,1)-GED & 0.0 & 0.0 & 100.0 & 0.069 & 81 \\26TGARCH(1,1)-N & 0.0 & 0.0 & 100.0 & 0.043 & 72 \\27TGARCH(1,1)-skt & 0.0 & 0.0 & 100.0 & 0.098 & 97 \\28TGARCH(1,1)-t & 0.0 & 0.0 & 100.0 & 0.072 & 94 \\29Constant variance-N & 0.0 & 0.0 & 100.0 & 0.000 & 0 \\30EWMA-N & 0.0 & 0.0 & 100.0 & 0.001 & 3 \\31Historical variance, 22 days & 0.0 & 0.0 & 100.0 & 0.000 & 0 \\32Historical variance, 252 days & 0.0 & 0.0 & 100.0 & 0.000 & 0 \\33Historical variance, 66 days & 0.0 & 0.0 & 100.0 & 0.000 & 0 \\34RiskMetrics 2006-N & 0.0 & 0.0 & 100.0 & 0.003 & 3 \\35ARCH(5)-GED & 0.0 & 1.6 & 100.0 & 0.087 & 103 \\36ARCH(5)-N & 0.0 & 1.8 & 100.0 & 0.060 & 96 \\37ARCH(5)-skt & 0.0 & 3.4 & 100.0 & 0.167 & 162 \\38ARCH(5)-t & 0.0 & 4.0 & 100.0 & 0.118 & 149 \\39GARCH(1,1)-GED & 0.0 & 2.1 & 100.0 & 0.043 & 71 \\40GARCH(1,1)-N & 0.0 & 2.3 & 100.0 & 0.026 & 61 \\41GARCH(1,1)-skt & 0.0 & 5.6 & 100.0 & 0.068 & 91 \\42GARCH(1,1)-t & 0.0 & 7.0 & 100.0 & 0.047 & 81 \\43GARCH(1,2)-GED & 0.0 & 2.2 & 100.0 & 0.060 & 77 \\44GARCH(1,2)-N & 0.0 & 2.4 & 100.0 & 0.039 & 67 \\45GARCH(1,2)-skt & 0.0 & 5.8 & 100.0 & 0.094 & 95 \\46GARCH(1,2)-t & 0.0 & 7.3 & 100.0 & 0.065 & 86 \\47GARCH(2,1)-GED & 0.0 & 2.2 & 100.0 & 0.060 & 76 \\48GARCH(2,1)-N & 0.0 & 2.3 & 100.0 & 0.038 & 65 \\49GARCH(2,1)-skt & 0.0 & 5.8 & 100.0 & 0.094 & 95 \\50GARCH(2,1)-t & 0.0 & 6.9 & 100.0 & 0.065 & 85 \\51GARCH-M(1,1)-GED & 0.0 & 0.0 & 100.0 & 0.027 & 69 \\52GARCH-M(1,1)-N & 0.0 & 0.0 & 100.0 & 0.014 & 53 \\53GARCH-M(1,1)-skt & 0.2 & 0.1 & 100.0 & 0.040 & 81 \\54GARCH-M(1,1)-t & 0.0 & 0.1 & 100.0 & 0.025 & 71 \\55IGARCH(1,1)-GED & 0.0 & 0.0 & 100.0 & 0.007 & 41 \\56IGARCH(1,1)-N & 0.0 & 0.0 & 100.0 & 0.003 & 29 \\57IGARCH(1,1)-skt & 0.1 & 0.0 & 100.0 & 0.012 & 46 \\58IGARCH(1,1)-t & 0.0 & 0.0 & 100.0 & 0.006 & 39 \\59Component GARCH-GED & 0.0 & 2.4 & 100.0 & 0.043 & 111 \\60Component GARCH-N & 0.0 & 2.6 & 100.0 & 0.023 & 93 \\61Component GARCH-skt & 0.3 & 2.7 & 100.0 & 0.061 & 137 \\62Component GARCH-t & 0.0 & 3.0 & 100.0 & 0.040 & 112 \\63GARCH-MIDAS-N & 0.3 & 0.4 & 100.0 & 0.101 & 82 \\64GARCH-MIDAS-t & 0.2 & 0.2 & 100.0 & 0.135 & 93 \\65FIAPARCH(1,d,1)-N & 1.8 & 0.0 & 100.0 & 1.426 & 260 \\66FIAPARCH(1,d,1)-t & 0.9 & 0.0 & 100.0 & 1.703 & 215 \\67FIEGARCH(1,d,1)-N & 0.1 & 0.0 & 100.0 & 1.171 & 420 \\68FIEGARCH(1,d,1)-t & 2.9 & 0.0 & 100.0 & 2.596 & 121 \\69FIGARCH(1,d,1)-GED & 0.0 & 0.0 & 100.0 & 0.457 & 42 \\70FIGARCH(1,d,1)-N & 0.1 & 0.0 & 100.0 & 0.952 & 113 \\71FIGARCH(1,d,1)-skt & 0.0 & 0.0 & 100.0 & 1.653 & 170 \\72FIGARCH(1,d,1)-t & 0.0 & 0.0 & 100.0 & 1.469 & 162 \\73HYGARCH(1,d,1)-N & 0.7 & 25.8 & 100.0 & 1.007 & 163 \\74HYGARCH(1,d,1)-t & 0.5 & 37.1 & 100.0 & 1.346 & 157 \\75APARCH(1,1)-GED & 0.0 & 0.0 & 100.0 & 0.263 & 136 \\76APARCH(1,1)-N & 0.0 & 0.0 & 100.0 & 0.215 & 139 \\77APARCH(1,1)-skt & 0.0 & 0.0 & 100.0 & 0.300 & 148 \\78APARCH(1,1)-t & 0.0 & 0.0 & 100.0 & 0.263 & 143 \\79AVGARCH(1,1)-GED & 0.0 & 0.0 & 100.0 & 0.052 & 70 \\80AVGARCH(1,1)-N & 0.0 & 0.0 & 100.0 & 0.034 & 63 \\81AVGARCH(1,1)-skt & 0.0 & 0.0 & 100.0 & 0.078 & 83 \\82AVGARCH(1,1)-t & 0.0 & 0.0 & 100.0 & 0.055 & 79 \\83GARCH-X(1,1) with lagged realized measure-N & 0.0 & 0.6 & 100.0 & 0.056 & 127 \\84GARCH-X(1,1) with lagged realized measure-t & 0.0 & 1.4 & 100.0 & 0.082 & 157 \\85HAR-RV & 0.0 & 0.0 & 100.0 & 0.001 & 0 \\86HEAVY(1,1)-N & 0.0 & 0.1 & 100.0 & 0.030 & 84 \\87HEAVY(1,1)-t & 0.0 & 0.0 & 100.0 & 0.049 & 103 \\88log-HAR-RV & 0.0 & 0.0 & 100.0 & 0.001 & 0 \\89Realized EGARCH(1,1)-N & 6.7 & 0.7 & 100.0 & 0.270 & 2467 \\90Realized EGARCH(1,1)-t & 17.2 & 0.3 & 100.0 & 0.363 & 2857 \\91Realized GARCH(1,1), log-linear-N & 0.0 & 0.1 & 100.0 & 0.042 & 92 \\92Realized GARCH(1,1), log-linear-t & 0.0 & 0.0 & 100.0 & 0.074 & 147 \\93Realized-measure random walk & 0.0 & 0.0 & 100.0 & 0.000 & 0 \\94MS-GARCH(2)-N & 0.2 & 0.2 & 99.9 & 0.106 & 192 \\95MS-GARCH(2)-t & 0.4 & 0.1 & 100.0 & 0.185 & 221 \\96Smooth-transition GARCH-N & 0.2 & 0.4 & 100.0 & 0.027 & 85 \\97Smooth-transition GARCH-t & 0.1 & 0.8 & 100.0 & 0.044 & 102 \\98Beta-t-EGARCH-t & 0.0 & 0.4 & 100.0 & 0.049 & 91 \\99GAS-t(1,1) / Beta-t-GARCH-t & 0.0 & 0.0 & 100.0 & 0.011 & 49 \\100\bottomrule101\end{tabular}102