spb/wp46_uqo

1\begin{tabular}{lrrrrrrrr}2\toprule3 & \multicolumn{4}{c}{$h=1$} & \multicolumn{4}{c}{$h=22$} \\4\cmidrule(lr){2-5}\cmidrule(lr){6-9}5Model & mean & trimmed 1\% & median & explosive \% & mean & trimmed 1\% & median & explosive \% \\6\midrule7Constant variance-N & 2.050 & 1.804 & 1.789 & 0.00 & 1.574 & 1.662 & 1.513 & 0.00 \\8EWMA-N & 1.042 & 1.025 & 1.041 & 0.00 & 1.142 & 1.172 & 1.156 & 0.00 \\9Historical variance, 22 days & 1.265 & 1.232 & 1.269 & 0.00 & 1.481 & 1.636 & 1.426 & 0.00 \\10Historical variance, 252 days & 1.662 & 1.549 & 1.554 & 0.00 & 1.414 & 1.444 & 1.417 & 0.00 \\11Historical variance, 66 days & 1.318 & 1.260 & 1.273 & 0.00 & 1.382 & 1.292 & 1.350 & 0.00 \\12RiskMetrics 2006-N & 0.978 & 0.984 & 0.984 & 0.00 & 0.979 & 0.974 & 0.988 & 0.00 \\13ARCH(5)-t & 1.100 & 1.141 & 1.067 & 0.00 & 1.207 & 1.375 & 1.114 & 0.00 \\14GARCH(1,1)-t & 0.991 & 0.988 & 0.996 & 0.00 & 0.980 & 0.990 & 0.981 & 0.00 \\15GARCH(1,2)-t & 0.993 & 0.987 & 0.997 & 0.00 & 0.976 & 0.990 & 0.980 & 0.00 \\16GARCH(2,1)-t & 0.999 & 0.994 & 1.003 & 0.00 & 0.979 & 0.992 & 0.981 & 0.00 \\17GARCH-M(1,1)-t & 0.991 & 0.987 & 0.995 & 0.00 & 0.975 & 0.990 & 0.982 & 0.00 \\18IGARCH(1,1)-t & 1.002 & 1.041 & 1.001 & 0.00 & 1.030 & 1.186 & 0.969 & 0.00 \\19EGARCH(1,1)-t & 2222447.682 & 231810.104 & 1.121 & 1.35 & 64823222.991 & 6407913.932 & 1.332 & 1.58 \\20EGARCH(1,1), constrained-t & 1.036 & 0.971 & 1.005 & 0.00 & 1.112 & 1.052 & 1.030 & 0.29 \\21GJR-GARCH(1,1)-t & 0.999 & 0.972 & 0.992 & 0.00 & 0.979 & 0.988 & 0.984 & 0.00 \\22NAGARCH(1,1)-t & 1.030 & 0.982 & 1.004 & 0.00 & 0.982 & 0.988 & 0.979 & 0.00 \\23QGARCH(1,1)-t & 0.985 & 0.966 & 0.987 & 0.00 & 0.965 & 0.967 & 0.983 & 0.00 \\24TGARCH(1,1)-t & 0.998 & 0.952 & 0.985 & 0.00 & 0.942 & 0.935 & 0.951 & 0.00 \\25APARCH(1,1)-t & 1.006 & 0.973 & 0.991 & 0.00 & 0.967 & 0.971 & 0.977 & 0.00 \\26AVGARCH(1,1)-t & 0.995 & 0.974 & 1.003 & 0.00 & 0.951 & 0.932 & 0.962 & 0.00 \\27FIAPARCH(1,d,1)-t & 0.969 & 0.944 & 0.970 & 0.00 & 0.939 & 0.933 & 0.958 & 0.00 \\28FIEGARCH(1,d,1)-t & 1.034 & 0.978 & 1.009 & 0.00 & 1.892 & 1.823 & 1.042 & 1.27 \\29FIGARCH(1,d,1)-t & 0.973 & 0.978 & 0.982 & 0.00 & 0.971 & 1.004 & 1.004 & 0.00 \\30HYGARCH(1,d,1)-t & 0.971 & 0.978 & 0.983 & 0.00 & 0.976 & 1.003 & 0.982 & 0.00 \\31Component GARCH-t & 0.977 & 0.977 & 0.997 & 0.00 & 1.018 & 1.021 & 1.028 & 0.00 \\32GARCH-MIDAS-t & 0.985 & 0.990 & 0.990 & 0.00 & 1.002 & 1.028 & 1.005 & 0.00 \\33MS-GARCH(2)-t & 1.006 & 0.975 & 0.999 & 0.01 & 1.032 & 0.996 & 1.024 & 0.01 \\34Smooth-transition GARCH-t & 0.995 & 0.970 & 0.988 & 0.00 & 0.975 & 0.987 & 0.981 & 0.00 \\35Beta-t-EGARCH-t & 1.040 & 0.978 & 1.022 & 0.00 & 0.986 & 0.970 & 1.011 & 0.00 \\36GAS-t(1,1) / Beta-t-GARCH-t & 1.021 & 0.989 & 1.016 & 0.00 & 0.975 & 0.956 & 0.989 & 0.00 \\37GARCH-X(1,1) with lagged realized measure-t & 0.862 & 0.864 & 0.864 & 0.00 & 1.028 & 1.135 & 0.949 & 0.00 \\38HAR-RV & 7233429.886 & 0.971 & 1.005 & 0.00 & 68649.256 & 1.067 & 1.081 & 0.00 \\39HEAVY(1,1)-t & 0.864 & 0.868 & 0.865 & 0.00 & 1.027 & 1.133 & 0.947 & 0.00 \\40log-HAR-RV & 0.864 & 0.848 & 0.854 & 0.00 & 0.929 & 0.914 & 0.934 & 0.00 \\41Realized EGARCH(1,1)-t & 0.878 & 0.862 & 0.839 & 0.00 & 8.083 & 9.704 & 2.080 & 10.75 \\42Realized GARCH(1,1), log-linear-t & 0.906 & 0.893 & 0.876 & 0.00 & 7.032 & 8.270 & 2.181 & 9.57 \\43Realized-measure random walk & 10576.602 & 1.209 & 1.218 & 0.00 & 34899.564 & 2.402 & 2.203 & 0.00 \\44\bottomrule45\end{tabular}46