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\midrule7Constant 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 \\8EWMA-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 \\9Historical 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 \\10Historical 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 \\11Historical 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 \\12RiskMetrics 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 \\13ARCH(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 \\14GARCH(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 \\15GARCH(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 \\16GARCH(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 \\17GARCH-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 \\18IGARCH(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 \\19EGARCH(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 \\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 \\21GJR-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 \\22NAGARCH(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 \\23QGARCH(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 \\24TGARCH(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 \\25APARCH(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 \\26AVGARCH(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 \\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 \\28Component 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 \\29MS-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 \\30GAS-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 \\31\bottomrule32\end{tabular}33