spb/wp46_uqo

1\begin{tabular}{lcccccccc}2\toprule3Model & vol\_tercile: low & vol\_tercile: mid & vol\_tercile: high & prev\_sign: neg & prev\_sign: pos & episode: covid & episode: rate\_shock\_2022 & episode: tariff\_shock\_2025 \\4\midrule5EGARCH(1,1)-t & 3090018.704 (40) & 880674.518 (42) & 1723747.836 (42) & 3432617.470 (42) & 998837.384 (42) & 9704850.653 (40) & 0.983 (42) & 1.092 (42) \\6EGARCH(1,1), constrained-t & 1.023 (40) & 1.028 (42) & 1.079 (42) & 1.035 (42) & 1.036 (42) & 1.240 (40) & 0.983 (42) & 1.078 (42) \\7GJR-GARCH(1,1)-t & 0.998 (40) & 1.003 (42) & 1.012 (42) & 0.992 (42) & 1.004 (42) & 1.064 (40) & 1.013 (42) & 0.978 (42) \\8NAGARCH(1,1)-t & 1.020 (40) & 1.038 (42) & 1.049 (42) & 1.019 (42) & 1.037 (42) & 1.148 (40) & 1.015 (42) & 1.007 (42) \\9QGARCH(1,1)-t & 0.994 (40) & 0.990 (42) & 0.984 (42) & 0.982 (42) & 0.986 (42) & 1.002 (40) & 0.995 (42) & 0.986 (42) \\10TGARCH(1,1)-t & 0.986 (40) & 1.000 (42) & 1.033 (42) & 0.996 (42) & 1.000 (42) & 1.090 (40) & 1.003 (42) & 1.087 (42) \\11Constant variance-N & 1.629 (40) & 1.441 (42) & 2.618 (42) & 2.254 (42) & 1.889 (42) & 8.655 (40) & 1.581 (42) & 1.687 (42) \\12EWMA-N & 1.073 (40) & 1.040 (42) & 1.022 (42) & 1.077 (42) & 1.015 (42) & 1.296 (40) & 1.012 (42) & 1.034 (42) \\13Historical variance, 22 days & 1.417 (40) & 1.266 (42) & 1.189 (42) & 1.339 (42) & 1.209 (42) & 1.396 (40) & 1.267 (42) & 1.213 (42) \\14Historical variance, 252 days & 1.289 (40) & 1.422 (42) & 2.047 (42) & 1.836 (42) & 1.528 (42) & 5.182 (40) & 1.597 (42) & 1.824 (42) \\15Historical variance, 66 days & 1.147 (40) & 1.261 (42) & 1.452 (42) & 1.436 (42) & 1.229 (42) & 3.140 (40) & 1.219 (42) & 1.469 (42) \\16RiskMetrics 2006-N & 0.966 (40) & 0.999 (42) & 0.968 (42) & 0.980 (42) & 0.977 (42) & 1.149 (40) & 0.958 (42) & 0.907 (42) \\17ARCH(5)-t & 1.129 (40) & 1.039 (42) & 1.123 (42) & 1.091 (42) & 1.109 (42) & 1.018 (40) & 1.246 (42) & 0.871 (42) \\18GARCH(1,1)-t & 0.987 (40) & 0.993 (42) & 0.999 (42) & 0.991 (42) & 0.992 (42) & 1.009 (40) & 0.995 (42) & 1.029 (42) \\19GARCH(1,2)-t & 0.985 (40) & 0.998 (42) & 1.002 (42) & 0.990 (42) & 0.995 (42) & 1.060 (40) & 0.999 (42) & 1.019 (42) \\20GARCH(2,1)-t & 0.991 (40) & 0.999 (42) & 1.009 (42) & 1.002 (42) & 0.996 (42) & 0.998 (40) & 1.009 (42) & 1.076 (42) \\21GARCH-M(1,1)-t & 0.988 (40) & 0.993 (42) & 0.998 (42) & 0.989 (42) & 0.992 (42) & 0.985 (40) & 0.991 (42) & 1.025 (42) \\22IGARCH(1,1)-t & 1.007 (40) & 1.023 (42) & 1.005 (42) & 0.990 (42) & 1.014 (42) & 0.935 (40) & 0.965 (42) & 1.064 (42) \\23Component GARCH-t & 0.971 (40) & 0.984 (42) & 0.985 (42) & 0.973 (42) & 0.982 (42) & 1.001 (40) & 0.976 (42) & 0.915 (42) \\24GARCH-MIDAS-t & 0.972 (40) & 0.994 (42) & 0.996 (42) & 0.978 (42) & 0.992 (42) & 0.992 (40) & 0.988 (42) & 1.025 (42) \\25FIAPARCH(1,d,1)-t & 0.981 (40) & 0.985 (42) & 0.969 (42) & 0.968 (42) & 0.972 (42) & 0.964 (40) & 1.006 (42) & 0.947 (42) \\26FIEGARCH(1,d,1)-t & 1.027 (40) & 1.028 (42) & 1.076 (42) & 1.039 (42) & 1.031 (42) & 1.233 (40) & 1.001 (42) & 1.117 (42) \\27FIGARCH(1,d,1)-t & 0.971 (40) & 0.981 (42) & 0.979 (42) & 0.971 (42) & 0.976 (42) & 0.959 (40) & 0.983 (42) & 0.971 (42) \\28HYGARCH(1,d,1)-t & 0.974 (40) & 0.975 (42) & 0.971 (42) & 0.968 (42) & 0.975 (42) & 0.945 (40) & 0.990 (42) & 0.976 (42) \\29APARCH(1,1)-t & 1.007 (40) & 1.020 (42) & 1.021 (42) & 1.004 (42) & 1.009 (42) & 1.072 (40) & 1.017 (42) & 1.068 (42) \\30AVGARCH(1,1)-t & 0.977 (40) & 0.995 (42) & 1.023 (42) & 1.002 (42) & 0.990 (42) & 1.041 (40) & 0.970 (42) & 1.108 (42) \\31GARCH-X(1,1) with lagged realized measure-t & 0.888 (40) & 0.883 (42) & 0.838 (42) & 0.857 (42) & 0.868 (42) & 0.693 (40) & 0.876 (42) & 0.725 (42) \\32HAR-RV & 0.973 (40) & 0.917 (42) & 10491935.769 (42) & 7830241.521 (42) & 6975314.399 (42) & 54254858.657 (40) & 0.895 (42) & 0.732 (42) \\33HEAVY(1,1)-t & 0.889 (40) & 0.885 (42) & 0.851 (42) & 0.860 (42) & 0.870 (42) & 0.707 (40) & 0.880 (42) & 0.714 (42) \\34log-HAR-RV & 0.893 (40) & 0.871 (42) & 0.945 (42) & 0.860 (42) & 0.875 (42) & 0.846 (40) & 0.875 (42) & 0.839 (42) \\35Realized EGARCH(1,1)-t & 0.919 (40) & 0.889 (42) & 0.867 (42) & 0.868 (42) & 0.890 (42) & 0.807 (40) & 0.851 (42) & 0.765 (42) \\36Realized GARCH(1,1), log-linear-t & 0.935 (40) & 0.920 (42) & 0.893 (42) & 0.904 (42) & 0.911 (42) & 0.866 (40) & 0.888 (42) & 1.017 (42) \\37Realized-measure random walk & 27629.561 (40) & 1.576 (42) & 4.618 (42) & 1.412 (42) & 27541.016 (42) & 141619.661 (40) & 1.437 (42) & 0.988 (42) \\38MS-GARCH(2)-t & 1.036 (40) & 0.984 (42) & 0.990 (42) & 1.014 (42) & 1.000 (42) & 0.983 (40) & 0.995 (42) & 0.990 (42) \\39Smooth-transition GARCH-t & 0.995 (40) & 0.997 (42) & 1.009 (42) & 0.988 (42) & 1.001 (42) & 1.055 (40) & 1.016 (42) & 0.971 (42) \\40Beta-t-EGARCH-t & 1.031 (40) & 1.026 (42) & 1.087 (42) & 1.045 (42) & 1.035 (42) & 1.262 (40) & 0.988 (42) & 1.144 (42) \\41GAS-t(1,1) / Beta-t-GARCH-t & 0.985 (40) & 1.007 (42) & 1.068 (42) & 1.040 (42) & 1.005 (42) & 1.241 (40) & 0.975 (42) & 1.180 (42) \\42\bottomrule43\end{tabular}44