spb/wp46_uqo

1\begin{tabular}{lccccccccc}2\toprule3 & \multicolumn{3}{c}{$h=1$} & \multicolumn{3}{c}{$h=5$} & \multicolumn{3}{c}{$h=22$} \\4\cmidrule(lr){2-4}\cmidrule(lr){5-7}\cmidrule(lr){8-10}5Model & ratio & 90\% CI & W/L/N & ratio & 90\% CI & W/L/N & ratio & 90\% CI & W/L/N \\6\midrule7APARCH(1,1)-N & 1.013 & [0.99, 1.04] & 1/1/42 & 1.002 & [0.97, 1.03] & 1/0/42 & 0.975 & [0.94, 1.01] & 1/1/42 \\8APARCH(1,1)-t & 1.006 & [0.98, 1.03] & 1/1/42 & 0.992 & [0.96, 1.02] & 1/0/42 & 0.967* & [0.93, 0.99] & 1/1/42 \\9ARCH(5)-N & 1.109*** & [1.08, 1.14] & 0/22/42 & 1.143*** & [1.10, 1.19] & 0/19/42 & 1.196*** & [1.14, 1.25] & 0/10/42 \\10ARCH(5)-t & 1.100*** & [1.07, 1.13] & 1/20/42 & 1.144*** & [1.09, 1.19] & 1/16/42 & 1.207*** & [1.12, 1.27] & 1/8/42 \\11AVGARCH(1,1)-N & 1.001 & [0.99, 1.01] & 1/0/42 & 0.996 & [0.98, 1.02] & 2/0/42 & 0.974 & [0.95, 1.00] & 0/1/42 \\12AVGARCH(1,1)-t & 0.995 & [0.98, 1.01] & 1/0/42 & 0.979* & [0.96, 1.00] & 1/0/42 & 0.951*** & [0.94, 0.96] & 2/0/42 \\13Beta-t-EGARCH-t & 1.040 & [1.00, 1.10] & 1/0/42 & 1.028 & [0.98, 1.09] & 1/0/42 & 0.986 & [0.95, 1.03] & 1/0/42 \\14Component GARCH-N & 0.985** & [0.98, 0.99] & 1/1/42 & 1.000 & [0.99, 1.01] & 0/0/42 & 1.025** & [1.01, 1.05] & 0/0/42 \\15Component GARCH-t & 0.977*** & [0.97, 0.99] & 1/1/42 & 0.990 & [0.97, 1.00] & 1/1/42 & 1.018 & [0.99, 1.04] & 1/0/42 \\16Constant variance-N & 2.050** & [1.58, 2.77] & 0/27/42 & 2.200** & [1.62, 3.08] & 0/16/42 & 1.574*** & [1.33, 1.98] & 0/6/42 \\17EGARCH(1,1)-N & 1909194.783** & [922672.75, 2896562.21] & 0/5/42 & 13611659.093** & [6022806.77, 21366025.82] & 0/5/42 & 56345418.797** & [20218263.91, 97360044.00] & 0/1/42 \\18EGARCH(1,1)-t & 2222447.682** & [768683.67, 3384931.12] & 1/8/42 & 16499209.921** & [5295792.34, 26579357.81] & 0/7/42 & 64823222.991** & [21406469.01, 100197985.14] & 0/3/42 \\19EGARCH(1,1), constrained-N & 1.041 & [1.00, 1.10] & 1/0/42 & 1.035 & [0.98, 1.10] & 1/0/42 & 0.985 & [0.95, 1.02] & 2/0/42 \\20EGARCH(1,1), constrained-t & 1.036 & [0.99, 1.09] & 2/0/42 & 1.055 & [1.00, 1.11] & 1/1/42 & 1.112*** & [1.04, 1.14] & 1/2/42 \\21EWMA-N & 1.042*** & [1.02, 1.07] & 1/8/42 & 1.061** & [1.01, 1.10] & 1/5/42 & 1.142** & [1.05, 1.21] & 0/1/42 \\22FIAPARCH(1,d,1)-N & 0.987 & [0.97, 1.01] & 2/1/42 & 0.957*** & [0.93, 0.98] & 4/0/42 & 0.940*** & [0.91, 0.97] & 3/0/42 \\23FIAPARCH(1,d,1)-t & 0.969** & [0.94, 0.99] & 1/0/42 & 0.931** & [0.88, 0.96] & 2/0/42 & 0.939*** & [0.90, 0.97] & 2/0/42 \\24FIEGARCH(1,d,1)-N & 1.059* & [1.02, 1.12] & 1/0/42 & 1.056 & [1.00, 1.13] & 0/0/42 & 1.008 & [0.96, 1.07] & 0/0/42 \\25FIEGARCH(1,d,1)-t & 1.034 & [0.99, 1.09] & 1/0/42 & 1.260*** & [1.12, 1.27] & 1/2/42 & 1.892*** & [1.45, 1.82] & 1/5/42 \\26FIGARCH(1,d,1)-N & 0.977*** & [0.96, 0.99] & 4/0/42 & 0.959** & [0.93, 0.98] & 5/0/42 & 0.973 & [0.93, 1.01] & 1/1/42 \\27FIGARCH(1,d,1)-t & 0.973*** & [0.96, 0.98] & 4/0/42 & 0.951*** & [0.92, 0.97] & 2/0/42 & 0.971 & [0.93, 1.00] & 1/2/42 \\28GARCH(1,1)-N & 1.000 & [--, --] & 0/0/42 & 1.000 & [--, --] & 0/0/42 & 1.000 & [--, --] & 0/0/42 \\29GARCH(1,1)-t & 0.991*** & [0.98, 1.00] & 1/2/42 & 0.984*** & [0.97, 0.99] & 1/1/42 & 0.980** & [0.95, 0.99] & 1/1/42 \\30GARCH(1,2)-N & 1.002 & [1.00, 1.01] & 0/0/42 & 0.998 & [0.99, 1.00] & 0/0/42 & 0.997* & [0.99, 1.00] & 1/0/42 \\31GARCH(1,2)-t & 0.993** & [0.98, 1.00] & 1/1/42 & 0.986*** & [0.97, 0.99] & 1/0/42 & 0.976** & [0.95, 0.99] & 1/1/42 \\32GARCH(2,1)-N & 1.010*** & [1.01, 1.01] & 0/3/42 & 0.999 & [0.99, 1.00] & 0/1/42 & 1.001 & [1.00, 1.00] & 0/0/42 \\33GARCH(2,1)-t & 0.999 & [0.99, 1.00] & 1/3/42 & 0.983** & [0.97, 0.99] & 1/0/42 & 0.979* & [0.95, 0.99] & 1/1/42 \\34GARCH-MIDAS-N & 0.986*** & [0.98, 0.99] & 3/0/42 & 0.997 & [0.99, 1.01] & 1/0/42 & 1.016 & [1.00, 1.03] & 1/0/42 \\35GARCH-MIDAS-t & 0.985*** & [0.98, 0.99] & 1/0/42 & 0.990 & [0.97, 1.00] & 1/1/42 & 1.002 & [0.96, 1.03] & 1/2/42 \\36GARCH-M(1,1)-N & 0.998 & [1.00, 1.00] & 5/0/42 & 0.999 & [1.00, 1.00] & 3/0/42 & 1.002 & [1.00, 1.01] & 0/0/42 \\37GARCH-M(1,1)-t & 0.991** & [0.98, 1.00] & 1/2/42 & 0.983*** & [0.97, 0.99] & 1/0/42 & 0.975** & [0.94, 0.99] & 1/1/42 \\38GAS-t(1,1) / Beta-t-GARCH-t & 1.021 & [0.99, 1.06] & 2/3/42 & 1.005 & [0.97, 1.05] & 2/0/42 & 0.975* & [0.95, 1.00] & 1/0/42 \\39GJR-GARCH(1,1)-N & 1.000 & [0.98, 1.02] & 1/0/42 & 0.998 & [0.98, 1.02] & 1/0/42 & 0.987 & [0.97, 1.00] & 1/0/42 \\40GJR-GARCH(1,1)-t & 0.999 & [0.98, 1.02] & 1/1/42 & 0.992 & [0.97, 1.02] & 1/0/42 & 0.979 & [0.95, 1.00] & 1/1/42 \\41Historical variance, 22 days & 1.265*** & [1.23, 1.30] & 0/33/42 & 1.376*** & [1.31, 1.42] & 0/29/42 & 1.481*** & [1.34, 1.56] & 0/20/42 \\42Historical variance, 252 days & 1.662*** & [1.39, 2.06] & 1/41/42 & 1.766** & [1.41, 2.29] & 1/17/42 & 1.414** & [1.22, 1.69] & 1/3/42 \\43Historical variance, 66 days & 1.318*** & [1.20, 1.48] & 1/28/42 & 1.390*** & [1.21, 1.63] & 1/15/42 & 1.382** & [1.14, 1.71] & 0/3/42 \\44HYGARCH(1,d,1)-N & 0.979** & [0.97, 0.99] & 3/0/42 & 0.965** & [0.94, 0.98] & 1/1/42 & 0.979 & [0.95, 1.00] & 0/0/42 \\45HYGARCH(1,d,1)-t & 0.971*** & [0.95, 0.98] & 3/1/42 & 0.956** & [0.92, 0.98] & 2/1/42 & 0.976 & [0.93, 1.00] & 1/1/42 \\46IGARCH(1,1)-N & 0.996 & [0.98, 1.01] & 1/0/42 & 0.986 & [0.94, 1.02] & 1/1/42 & 0.999 & [0.86, 1.10] & 0/6/42 \\47IGARCH(1,1)-t & 1.002 & [0.98, 1.01] & 1/4/42 & 0.997 & [0.94, 1.03] & 1/3/42 & 1.030 & [0.88, 1.12] & 1/5/42 \\48MS-GARCH(2)-N & 1.009 & [1.00, 1.02] & 1/2/42 & 1.019 & [1.00, 1.04] & 0/2/42 & 1.026 & [0.99, 1.08] & 0/0/42 \\49MS-GARCH(2)-t & 1.006 & [0.98, 1.04] & 1/0/42 & 1.013 & [0.98, 1.05] & 2/0/42 & 1.032 & [0.99, 1.08] & 1/0/42 \\50NAGARCH(1,1)-N & 1.051* & [1.01, 1.10] & 0/1/42 & 1.037 & [1.00, 1.09] & 0/0/42 & 0.985 & [0.95, 1.02] & 1/0/42 \\51NAGARCH(1,1)-t & 1.030 & [1.00, 1.07] & 1/1/42 & 1.015 & [0.98, 1.05] & 1/1/42 & 0.982 & [0.94, 1.01] & 1/2/42 \\52QGARCH(1,1)-N & 0.991 & [0.98, 1.00] & 3/1/42 & 0.984* & [0.97, 1.00] & 3/0/42 & 0.977* & [0.95, 1.00] & 0/0/42 \\53QGARCH(1,1)-t & 0.985** & [0.97, 1.00] & 2/0/42 & 0.973** & [0.95, 0.99] & 2/0/42 & 0.965** & [0.93, 0.98] & 1/1/42 \\54RiskMetrics 2006-N & 0.978 & [0.95, 1.00] & 5/4/42 & 0.952* & [0.90, 0.99] & 1/0/42 & 0.979 & [0.91, 1.03] & 1/0/42 \\55Smooth-transition GARCH-N & 1.001 & [0.98, 1.02] & 1/0/42 & 0.999 & [0.98, 1.02] & 1/0/42 & 0.986 & [0.96, 1.00] & 1/0/42 \\56Smooth-transition GARCH-t & 0.995 & [0.97, 1.01] & 1/0/42 & 0.988 & [0.96, 1.01] & 1/0/42 & 0.975* & [0.94, 1.00] & 1/1/42 \\57TGARCH(1,1)-N & 0.996 & [0.97, 1.02] & 3/0/42 & 0.982 & [0.96, 1.01] & 2/0/42 & 0.943** & [0.90, 0.98] & 1/1/42 \\58TGARCH(1,1)-t & 0.998 & [0.97, 1.02] & 2/0/42 & 0.981 & [0.95, 1.01] & 1/0/42 & 0.942*** & [0.90, 0.97] & 1/0/42 \\59\bottomrule60\end{tabular}61