spb/wp46_uqo

1\begin{tabular}{lcccccccccc}2\toprule3Model & RV5ss+on / qlike & RV5+on / qlike & RV1+on / qlike & BV5+on / qlike & medRV+on / qlike & RV5ss scaled / qlike & $r^2$ / qlike & RV5ss+on / mse & RV5ss+on / mae & RV5ss+on / MSE-sd \\4\midrule5Constant variance-N & -- & 2.048 & 2.088 & 2.026 & 2.013 & 2.356 & 1.194 & 1.357 & 1.290 & 1.699 \\6EWMA-N & -- & 1.048 & 1.085 & 1.023 & 1.021 & 1.054 & 1.012 & 1.087 & 1.040 & 1.082 \\7Historical variance, 22 days & -- & 1.278 & 1.368 & 1.211 & 1.202 & 1.364 & 1.059 & 1.200 & 1.088 & 1.205 \\8Historical variance, 252 days & -- & 1.664 & 1.705 & 1.644 & 1.636 & 1.876 & 1.121 & 1.317 & 1.252 & 1.588 \\9Historical variance, 66 days & -- & 1.324 & 1.374 & 1.295 & 1.291 & 1.421 & 1.058 & 1.277 & 1.163 & 1.387 \\10RiskMetrics 2006-N & -- & 0.980 & 0.986 & 0.976 & 0.976 & 0.959 & 0.997 & 1.032 & 1.003 & 1.010 \\11ARCH(5)-t & -- & 1.099 & 1.082 & 1.106 & 1.104 & 1.140 & 1.021 & 1.023 & 1.059 & 1.082 \\12GARCH(1,1)-t & -- & 0.991 & 0.985 & 0.992 & 0.993 & 0.996 & 0.996 & 0.987 & 0.993 & 0.987 \\13GARCH(1,2)-t & -- & 0.993 & 0.988 & 0.993 & 0.994 & 0.996 & 0.997 & 0.989 & 0.993 & 0.988 \\14GARCH(2,1)-t & -- & 0.999 & 0.994 & 0.999 & 1.000 & 1.006 & 0.997 & 0.992 & 0.998 & 0.995 \\15GARCH-M(1,1)-t & -- & 0.991 & 0.985 & 0.992 & 0.992 & 0.995 & 0.996 & 2.418 & 1.025 & 1.051 \\16IGARCH(1,1)-t & -- & 1.001 & 0.982 & 1.014 & 1.017 & 1.025 & 0.999 & 1.004 & 1.082 & 1.069 \\17EGARCH(1,1)-t & -- & 2170114.294 & 2665063.392 & 2030192.924 & 1992873.395 & 2519712.388 & 416148.903 & 9083474025328508.000 & 801716.101 & 2364497.093 \\18EGARCH(1,1), constrained-t & -- & 1.037 & 1.040 & 1.033 & 1.029 & 1.052 & 0.997 & 1.015 & 0.961 & 0.966 \\19GJR-GARCH(1,1)-t & -- & 1.000 & 0.999 & 0.997 & 0.995 & 1.004 & 0.994 & 1.000 & 0.984 & 0.977 \\20NAGARCH(1,1)-t & -- & 1.031 & 1.036 & 1.025 & 1.022 & 1.048 & 0.994 & 1.003 & 0.981 & 0.972 \\21QGARCH(1,1)-t & -- & 0.985 & 0.984 & 0.983 & 0.982 & 0.993 & 0.991 & 0.988 & 0.972 & 0.963 \\22TGARCH(1,1)-t & -- & 0.999 & 0.999 & 0.995 & 0.992 & 1.006 & 0.992 & 0.993 & 0.954 & 0.945 \\23APARCH(1,1)-t & -- & 1.008 & 1.012 & 1.001 & 0.999 & 1.017 & 0.993 & 1.000 & 0.972 & 0.964 \\24AVGARCH(1,1)-t & -- & 0.996 & 0.989 & 0.995 & 0.994 & 0.998 & 0.997 & 0.994 & 0.963 & 0.963 \\25FIAPARCH(1,d,1)-t & -- & 0.971 & 0.969 & 0.970 & 0.969 & 0.969 & 0.988 & 0.986 & 0.970 & 0.948 \\26FIEGARCH(1,d,1)-t & -- & 1.036 & 1.041 & 1.032 & 1.031 & 1.047 & 0.996 & 1.030 & 0.975 & 0.981 \\27FIGARCH(1,d,1)-t & -- & 0.972 & 0.963 & 0.978 & 0.979 & 0.969 & 0.994 & 0.985 & 1.007 & 0.991 \\28HYGARCH(1,d,1)-t & -- & 0.972 & 0.959 & 0.978 & 0.979 & 0.969 & 0.995 & 0.986 & 1.002 & 0.988 \\29Component GARCH-t & -- & 0.977 & 0.974 & 0.979 & 0.980 & 0.971 & 0.995 & 0.979 & 0.990 & 0.977 \\30GARCH-MIDAS-t & -- & 0.985 & 0.975 & 0.989 & 0.991 & 0.988 & 0.996 & 1.023 & 1.018 & 1.018 \\31MS-GARCH(2)-t & -- & 1.006 & 1.013 & 1.002 & 1.003 & 1.004 & 0.999 & 165328017635877789185575417824032432586752.000 & 11437680209525254144.000 & 44575284543720431616.000 \\32Smooth-transition GARCH-t & -- & 0.996 & 0.996 & 0.993 & 0.992 & 1.000 & 0.994 & 0.998 & 0.983 & 0.975 \\33Beta-t-EGARCH-t & -- & 1.041 & 1.046 & 1.034 & 1.033 & 1.051 & 0.997 & 1.402 & 0.985 & 1.032 \\34GAS-t(1,1) / Beta-t-GARCH-t & -- & 1.021 & 1.016 & 1.018 & 1.018 & 1.029 & 1.000 & 1.025 & 0.997 & 1.003 \\35GARCH-X(1,1) with lagged realized measure-t & -- & 0.863 & 0.850 & 0.859 & 0.857 & 0.854 & 0.966 & 1.008 & 0.978 & 0.938 \\36HAR-RV & -- & 7055169.568 & 8132691.162 & 6179874.230 & 6118881.296 & 8924804.380 & 1431895.171 & 1.365 & 1.037 & 1.046 \\37HEAVY(1,1)-t & -- & 0.866 & 0.851 & 0.862 & 0.860 & 0.857 & 0.965 & 1.023 & 0.985 & 0.947 \\38log-HAR-RV & -- & 0.868 & 0.819 & 0.882 & 0.882 & 0.856 & 0.968 & 1.003 & 0.954 & 0.919 \\39Realized EGARCH(1,1)-t & -- & 0.879 & 0.850 & 0.881 & 0.881 & 0.851 & 0.970 & 1.209 & 0.983 & 1.009 \\40Realized GARCH(1,1), log-linear-t & -- & 0.907 & 0.866 & 0.913 & 0.914 & 0.884 & 0.971 & 1.181 & 1.005 & 1.023 \\41Realized-measure random walk & -- & 11418.318 & 11537.016 & 10613.412 & 14415.726 & 12101.978 & 2587.872 & 1.424 & 1.075 & 1.161 \\42\bottomrule43\end{tabular}44