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 & 95269038.049 (40) & 47361333.638 (42) & 17927596.707 (42) & 115911035.830 (42) & 23030872.302 (42) & 89720274.655 (40) & 1.031 (42) & 1.705 (40) \\6EGARCH(1,1), constrained-t & 1.145 (40) & 1.182 (42) & 1.046 (42) & 1.096 (42) & 1.134 (42) & 1.128 (40) & 1.031 (42) & 1.603 (40) \\7GJR-GARCH(1,1)-t & 1.028 (40) & 0.995 (42) & 0.953 (42) & 0.972 (42) & 0.991 (42) & 1.017 (40) & 1.056 (42) & 0.985 (40) \\8NAGARCH(1,1)-t & 1.066 (40) & 1.002 (42) & 0.941 (42) & 0.975 (42) & 0.998 (42) & 1.019 (40) & 1.074 (42) & 0.937 (40) \\9QGARCH(1,1)-t & 1.010 (40) & 0.972 (42) & 0.936 (42) & 0.962 (42) & 0.973 (42) & 1.004 (40) & 0.996 (42) & 0.974 (40) \\10TGARCH(1,1)-t & 0.989 (40) & 0.962 (42) & 0.929 (42) & 0.936 (42) & 0.953 (42) & 0.995 (40) & 0.987 (42) & 0.856 (40) \\11Constant variance-N & 1.331 (40) & 1.295 (42) & 2.117 (42) & 1.664 (42) & 1.504 (42) & 2.462 (40) & 1.338 (42) & 0.984 (40) \\12EWMA-N & 1.419 (40) & 1.107 (42) & 0.989 (42) & 1.142 (42) & 1.146 (42) & 1.185 (40) & 1.165 (42) & 1.409 (40) \\13Historical variance, 22 days & 2.109 (40) & 1.405 (42) & 1.176 (42) & 1.472 (42) & 1.498 (42) & 1.213 (40) & 1.670 (42) & 1.567 (40) \\14Historical variance, 252 days & 1.185 (40) & 1.325 (42) & 1.784 (42) & 1.486 (42) & 1.354 (42) & 2.084 (40) & 1.854 (42) & 1.087 (40) \\15Historical variance, 66 days & 1.466 (40) & 1.385 (42) & 1.354 (42) & 1.425 (42) & 1.343 (42) & 2.030 (40) & 1.198 (42) & 1.358 (40) \\16RiskMetrics 2006-N & 1.071 (40) & 0.980 (42) & 0.912 (42) & 0.973 (42) & 0.986 (42) & 1.046 (40) & 1.037 (42) & 1.124 (40) \\17ARCH(5)-t & 1.273 (40) & 1.142 (42) & 1.277 (42) & 1.215 (42) & 1.207 (42) & 1.062 (40) & 1.190 (42) & 0.795 (40) \\18GARCH(1,1)-t & 0.993 (40) & 0.975 (42) & 0.970 (42) & 0.977 (42) & 0.983 (42) & 1.034 (40) & 1.011 (42) & 1.101 (40) \\19GARCH(1,2)-t & 0.994 (40) & 0.981 (42) & 0.963 (42) & 0.974 (42) & 0.980 (42) & 1.038 (40) & 1.003 (42) & 1.095 (40) \\20GARCH(2,1)-t & 0.992 (40) & 0.974 (42) & 0.969 (42) & 0.977 (42) & 0.983 (42) & 1.019 (40) & 1.014 (42) & 1.091 (40) \\21GARCH-M(1,1)-t & 0.992 (40) & 0.976 (42) & 0.964 (42) & 0.972 (42) & 0.980 (42) & 1.028 (40) & 1.007 (42) & 1.097 (40) \\22IGARCH(1,1)-t & 1.088 (40) & 1.043 (42) & 1.034 (42) & 1.006 (42) & 1.061 (42) & 0.908 (40) & 1.162 (42) & 1.586 (40) \\23Component GARCH-t & 1.023 (40) & 1.010 (42) & 1.017 (42) & 1.015 (42) & 1.023 (42) & 1.137 (40) & 0.989 (42) & 1.108 (40) \\24GARCH-MIDAS-t & 0.972 (40) & 0.999 (42) & 1.037 (42) & 1.000 (42) & 1.005 (42) & 1.104 (40) & 1.026 (42) & 1.283 (40) \\25FIAPARCH(1,d,1)-t & 0.999 (40) & 0.950 (42) & 0.891 (42) & 0.934 (42) & 0.949 (42) & 0.963 (40) & 0.937 (42) & 0.823 (40) \\26FIEGARCH(1,d,1)-t & 1.782 (40) & 2.521 (42) & 1.253 (42) & 1.813 (42) & 1.980 (42) & 1.079 (40) & 1.006 (42) & 4.502 (40) \\27FIGARCH(1,d,1)-t & 0.988 (40) & 0.968 (42) & 0.969 (42) & 0.964 (42) & 0.981 (42) & 1.040 (40) & 1.059 (42) & 1.037 (40) \\28HYGARCH(1,d,1)-t & 0.987 (40) & 0.984 (42) & 0.968 (42) & 0.971 (42) & 0.984 (42) & 1.100 (40) & 0.975 (42) & 1.055 (40) \\29APARCH(1,1)-t & 1.026 (40) & 0.996 (42) & 0.926 (42) & 0.958 (42) & 0.982 (42) & 1.012 (40) & 1.024 (42) & 0.918 (40) \\30AVGARCH(1,1)-t & 0.940 (40) & 0.959 (42) & 0.964 (42) & 0.961 (42) & 0.941 (42) & 1.033 (40) & 0.941 (42) & 0.923 (40) \\31GARCH-X(1,1) with lagged realized measure-t & 1.165 (40) & 1.055 (42) & 0.938 (42) & 1.007 (42) & 1.051 (42) & 0.699 (40) & 0.979 (42) & 0.961 (40) \\32HAR-RV & 1.047 (40) & 1.011 (42) & 223114.576 (42) & 69464.300 (42) & 69292.336 (42) & 799265.399 (40) & 0.879 (42) & 0.976 (40) \\33HEAVY(1,1)-t & 1.162 (40) & 1.056 (42) & 0.947 (42) & 1.005 (42) & 1.050 (42) & 0.698 (40) & 0.977 (42) & 0.966 (40) \\34log-HAR-RV & 0.952 (40) & 0.934 (42) & 0.920 (42) & 0.934 (42) & 0.925 (42) & 0.964 (40) & 0.870 (42) & 0.786 (40) \\35Realized EGARCH(1,1)-t & 7.992 (40) & 10.023 (42) & 6.353 (42) & 8.089 (42) & 8.225 (42) & 2.385 (40) & 8.332 (42) & 8.989 (40) \\36Realized GARCH(1,1), log-linear-t & 7.171 (40) & 8.343 (42) & 4.439 (42) & 6.943 (42) & 7.214 (42) & 2.422 (40) & 6.108 (42) & 8.208 (40) \\37Realized-measure random walk & 101419.047 (40) & 2.226 (42) & 4.734 (42) & 2.017 (42) & 65119.022 (42) & 216834.066 (40) & 3.087 (42) & 1.783 (40) \\38MS-GARCH(2)-t & 1.077 (40) & 0.977 (42) & 1.010 (42) & 1.042 (42) & 1.024 (42) & 1.128 (40) & 1.057 (42) & 0.935 (40) \\39Smooth-transition GARCH-t & 1.024 (40) & 0.991 (42) & 0.950 (42) & 0.970 (42) & 0.985 (42) & 1.001 (40) & 1.056 (42) & 0.994 (40) \\40Beta-t-EGARCH-t & 1.045 (40) & 0.995 (42) & 0.981 (42) & 0.985 (42) & 0.993 (42) & 1.069 (40) & 0.963 (42) & 0.910 (40) \\41GAS-t(1,1) / Beta-t-GARCH-t & 0.968 (40) & 0.992 (42) & 0.987 (42) & 0.988 (42) & 0.965 (42) & 1.115 (40) & 0.963 (42) & 0.959 (40) \\42\bottomrule43\end{tabular}44