spb/wp46_uqo

1\begin{tabular}{lrrrrrr}2\toprule3Model & mv-QLIKE & ratio to CCC & Frobenius ratio & portfolio-QLIKE ratio & MCS $p$ & refit (s) \\4\midrule5\multicolumn{7}{l}{\emph{Basket: SPY, QQQ, IWM, DIA}} \\6Rolling covariance (252) & 2.685 & 1.142 & 1.629 & 1.675 & 0.15 & 0.00 \\7EWMA covariance (0.94) & 2.208 & 0.939 & 1.206 & 0.930 & 0.15 & 0.00 \\8CCC-GARCH(1,1) & 2.352 & 1.000 & 1.000 & 1.000 & 0.15 & 0.03 \\9DCC(1,1) & 2.002 & 0.851*** & 0.985 & 1.018 & 0.88 & 0.52 \\10Asymmetric DCC(1,1) & 2.001 & 0.851*** & 0.983 & 1.019 & 1.00 & 2.34 \\11Scalar BEKK(1,1) & 2.102 & 0.894 & 1.270 & 1.075 & 0.58 & 0.34 \\12\multicolumn{7}{l}{\emph{Basket: SPY, TLT, GLD, USO, EEM}} \\13Rolling covariance (252) & 4.789 & 1.151*** & 1.123 & 1.467 & 0.01 & 0.00 \\14EWMA covariance (0.94) & 4.092 & 0.983 & 0.969 & 0.930 & 0.78 & 0.00 \\15CCC-GARCH(1,1) & 4.162 & 1.000 & 1.000 & 1.000 & 0.01 & 0.10 \\16DCC(1,1) & 4.037 & 0.970*** & 0.987 & 0.985 & 1.00 & 0.62 \\17Asymmetric DCC(1,1) & 4.040 & 0.971*** & 0.987 & 0.981 & 0.78 & 2.38 \\18Scalar BEKK(1,1) & 4.072 & 0.978** & 0.999 & 1.053 & 0.78 & 0.38 \\19\bottomrule20\end{tabular}21