1{2 "SPY": {3 "n_origins": 1006,4 "common_sample_n_h1": 9054,5 "status": {6 "ok": {7 "aparch11__t__w1000_r5": 1006,8 "egarch11__t__w1000_r5": 1006,9 "garch11__normal__w1000_r5": 1006,10 "garch11__t__w1000_r5": 1006,11 "gjr11__t__w1000_r5": 1006,12 "har_rv__empirical__w1000_r5": 1006,13 "histvar22__empirical__w1000_r5": 1006,14 "nagarch11__t__w1000_r5": 1006,15 "realgarch11__normal__w1000_r5": 100616 }17 },18 "fit_status": {19 "inadmissible": {20 "aparch11__t__w1000_r5": 0,21 "egarch11__t__w1000_r5": 0,22 "garch11__normal__w1000_r5": 0,23 "garch11__t__w1000_r5": 26,24 "gjr11__t__w1000_r5": 0,25 "har_rv__empirical__w1000_r5": 0,26 "histvar22__empirical__w1000_r5": 0,27 "nagarch11__t__w1000_r5": 0,28 "realgarch11__normal__w1000_r5": 029 },30 "ok": {31 "aparch11__t__w1000_r5": 202,32 "egarch11__t__w1000_r5": 202,33 "garch11__normal__w1000_r5": 202,34 "garch11__t__w1000_r5": 176,35 "gjr11__t__w1000_r5": 202,36 "har_rv__empirical__w1000_r5": 202,37 "histvar22__empirical__w1000_r5": 202,38 "nagarch11__t__w1000_r5": 202,39 "realgarch11__normal__w1000_r5": 20240 }41 },42 "mean_loss_common": [43 {44 "proxy": "r2",45 "loss": "mse",46 "h": 1,47 "aparch11__t__w1000_r5": 1.3996,48 "egarch11__t__w1000_r5": 1.3836,49 "garch11__normal__w1000_r5": 1.4871,50 "garch11__t__w1000_r5": 1.4875,51 "gjr11__t__w1000_r5": 1.4175,52 "har_rv__empirical__w1000_r5": 1.6817,53 "histvar22__empirical__w1000_r5": 1.666,54 "nagarch11__t__w1000_r5": 1.393,55 "realgarch11__normal__w1000_r5": 1.405456 },57 {58 "proxy": "r2",59 "loss": "mse",60 "h": 5,61 "aparch11__t__w1000_r5": 14.6852,62 "egarch11__t__w1000_r5": 14.5397,63 "garch11__normal__w1000_r5": 14.4574,64 "garch11__t__w1000_r5": 14.7366,65 "gjr11__t__w1000_r5": 15.2964,66 "har_rv__empirical__w1000_r5": 15.2534,67 "histvar22__empirical__w1000_r5": 17.842,68 "nagarch11__t__w1000_r5": 16.0023,69 "realgarch11__normal__w1000_r5": 13.443370 },71 {72 "proxy": "r2",73 "loss": "mse",74 "h": 22,75 "aparch11__t__w1000_r5": 221.0813,76 "egarch11__t__w1000_r5": 29928.363,77 "garch11__normal__w1000_r5": 171.8139,78 "garch11__t__w1000_r5": 187.1507,79 "gjr11__t__w1000_r5": 215.6164,80 "har_rv__empirical__w1000_r5": 198.7276,81 "histvar22__empirical__w1000_r5": 212.6863,82 "nagarch11__t__w1000_r5": 322.9919,83 "realgarch11__normal__w1000_r5": 157.67384 },85 {86 "proxy": "r2",87 "loss": "qlike",88 "h": 1,89 "aparch11__t__w1000_r5": 1.4285,90 "egarch11__t__w1000_r5": 1.4348,91 "garch11__normal__w1000_r5": 1.5186,92 "garch11__t__w1000_r5": 1.5188,93 "gjr11__t__w1000_r5": 1.451,94 "har_rv__empirical__w1000_r5": 1.5021,95 "histvar22__empirical__w1000_r5": 1.6783,96 "nagarch11__t__w1000_r5": 1.422,97 "realgarch11__normal__w1000_r5": 1.44298 },99 {100 "proxy": "r2",101 "loss": "qlike",102 "h": 5,103 "aparch11__t__w1000_r5": 0.3756,104 "egarch11__t__w1000_r5": 0.3866,105 "garch11__normal__w1000_r5": 0.4295,106 "garch11__t__w1000_r5": 0.4321,107 "gjr11__t__w1000_r5": 0.3912,108 "har_rv__empirical__w1000_r5": 0.4433,109 "histvar22__empirical__w1000_r5": 0.6038,110 "nagarch11__t__w1000_r5": 0.3795,111 "realgarch11__normal__w1000_r5": 0.3935112 },113 {114 "proxy": "r2",115 "loss": "qlike",116 "h": 22,117 "aparch11__t__w1000_r5": 0.2494,118 "egarch11__t__w1000_r5": 0.2657,119 "garch11__normal__w1000_r5": 0.2522,120 "garch11__t__w1000_r5": 0.2595,121 "gjr11__t__w1000_r5": 0.2387,122 "har_rv__empirical__w1000_r5": 0.2843,123 "histvar22__empirical__w1000_r5": 0.4681,124 "nagarch11__t__w1000_r5": 0.27,125 "realgarch11__normal__w1000_r5": 0.2328126 },127 {128 "proxy": "rv5ss_on",129 "loss": "mse",130 "h": 1,131 "aparch11__t__w1000_r5": 2.0112,132 "egarch11__t__w1000_r5": 1.9421,133 "garch11__normal__w1000_r5": 2.1561,134 "garch11__t__w1000_r5": 2.1426,135 "gjr11__t__w1000_r5": 1.8891,136 "har_rv__empirical__w1000_r5": 2.185,137 "histvar22__empirical__w1000_r5": 2.4172,138 "nagarch11__t__w1000_r5": 1.9804,139 "realgarch11__normal__w1000_r5": 2.1525140 },141 {142 "proxy": "rv5ss_on",143 "loss": "mse",144 "h": 5,145 "aparch11__t__w1000_r5": 23.8685,146 "egarch11__t__w1000_r5": 23.6547,147 "garch11__normal__w1000_r5": 23.5567,148 "garch11__t__w1000_r5": 23.7539,149 "gjr11__t__w1000_r5": 23.7699,150 "har_rv__empirical__w1000_r5": 24.9214,151 "histvar22__empirical__w1000_r5": 26.6768,152 "nagarch11__t__w1000_r5": 25.2487,153 "realgarch11__normal__w1000_r5": 23.388154 },155 {156 "proxy": "rv5ss_on",157 "loss": "mse",158 "h": 22,159 "aparch11__t__w1000_r5": 284.4968,160 "egarch11__t__w1000_r5": 29974.5746,161 "garch11__normal__w1000_r5": 238.7663,162 "garch11__t__w1000_r5": 253.0328,163 "gjr11__t__w1000_r5": 274.2299,164 "har_rv__empirical__w1000_r5": 273.2997,165 "histvar22__empirical__w1000_r5": 267.3486,166 "nagarch11__t__w1000_r5": 385.4714,167 "realgarch11__normal__w1000_r5": 228.4667168 },169 {170 "proxy": "rv5ss_on",171 "loss": "qlike",172 "h": 1,173 "aparch11__t__w1000_r5": 0.276,174 "egarch11__t__w1000_r5": 0.2916,175 "garch11__normal__w1000_r5": 0.3128,176 "garch11__t__w1000_r5": 0.3142,177 "gjr11__t__w1000_r5": 0.2743,178 "har_rv__empirical__w1000_r5": 0.3092,179 "histvar22__empirical__w1000_r5": 0.4129,180 "nagarch11__t__w1000_r5": 0.2784,181 "realgarch11__normal__w1000_r5": 0.2657182 },183 {184 "proxy": "rv5ss_on",185 "loss": "qlike",186 "h": 5,187 "aparch11__t__w1000_r5": 0.2329,188 "egarch11__t__w1000_r5": 0.2461,189 "garch11__normal__w1000_r5": 0.2615,190 "garch11__t__w1000_r5": 0.2647,191 "gjr11__t__w1000_r5": 0.2368,192 "har_rv__empirical__w1000_r5": 0.2862,193 "histvar22__empirical__w1000_r5": 0.3764,194 "nagarch11__t__w1000_r5": 0.24,195 "realgarch11__normal__w1000_r5": 0.2301196 },197 {198 "proxy": "rv5ss_on",199 "loss": "qlike",200 "h": 22,201 "aparch11__t__w1000_r5": 0.2551,202 "egarch11__t__w1000_r5": 0.2673,203 "garch11__normal__w1000_r5": 0.2643,204 "garch11__t__w1000_r5": 0.2712,205 "gjr11__t__w1000_r5": 0.2422,206 "har_rv__empirical__w1000_r5": 0.3086,207 "histvar22__empirical__w1000_r5": 0.3961,208 "nagarch11__t__w1000_r5": 0.2792,209 "realgarch11__normal__w1000_r5": 0.24210 }211 ],212 "ratio_to_garch11_normal": [213 {214 "proxy": "r2",215 "loss": "mse",216 "h": 1,217 "aparch11__t__w1000_r5": 0.9411,218 "egarch11__t__w1000_r5": 0.9304,219 "garch11__normal__w1000_r5": 1.0,220 "garch11__t__w1000_r5": 1.0003,221 "gjr11__t__w1000_r5": 0.9532,222 "har_rv__empirical__w1000_r5": 1.1308,223 "histvar22__empirical__w1000_r5": 1.1203,224 "nagarch11__t__w1000_r5": 0.9368,225 "realgarch11__normal__w1000_r5": 0.945226 },227 {228 "proxy": "r2",229 "loss": "mse",230 "h": 5,231 "aparch11__t__w1000_r5": 1.0158,232 "egarch11__t__w1000_r5": 1.0057,233 "garch11__normal__w1000_r5": 1.0,234 "garch11__t__w1000_r5": 1.0193,235 "gjr11__t__w1000_r5": 1.058,236 "har_rv__empirical__w1000_r5": 1.0551,237 "histvar22__empirical__w1000_r5": 1.2341,238 "nagarch11__t__w1000_r5": 1.1069,239 "realgarch11__normal__w1000_r5": 0.9299240 },241 {242 "proxy": "r2",243 "loss": "mse",244 "h": 22,245 "aparch11__t__w1000_r5": 1.2867,246 "egarch11__t__w1000_r5": 174.1906,247 "garch11__normal__w1000_r5": 1.0,248 "garch11__t__w1000_r5": 1.0893,249 "gjr11__t__w1000_r5": 1.2549,250 "har_rv__empirical__w1000_r5": 1.1566,251 "histvar22__empirical__w1000_r5": 1.2379,252 "nagarch11__t__w1000_r5": 1.8799,253 "realgarch11__normal__w1000_r5": 0.9177254 },255 {256 "proxy": "r2",257 "loss": "qlike",258 "h": 1,259 "aparch11__t__w1000_r5": 0.9406,260 "egarch11__t__w1000_r5": 0.9448,261 "garch11__normal__w1000_r5": 1.0,262 "garch11__t__w1000_r5": 1.0001,263 "gjr11__t__w1000_r5": 0.9555,264 "har_rv__empirical__w1000_r5": 0.9891,265 "histvar22__empirical__w1000_r5": 1.1051,266 "nagarch11__t__w1000_r5": 0.9364,267 "realgarch11__normal__w1000_r5": 0.9496268 },269 {270 "proxy": "r2",271 "loss": "qlike",272 "h": 5,273 "aparch11__t__w1000_r5": 0.8746,274 "egarch11__t__w1000_r5": 0.9001,275 "garch11__normal__w1000_r5": 1.0,276 "garch11__t__w1000_r5": 1.0061,277 "gjr11__t__w1000_r5": 0.9109,278 "har_rv__empirical__w1000_r5": 1.0321,279 "histvar22__empirical__w1000_r5": 1.4058,280 "nagarch11__t__w1000_r5": 0.8837,281 "realgarch11__normal__w1000_r5": 0.9161282 },283 {284 "proxy": "r2",285 "loss": "qlike",286 "h": 22,287 "aparch11__t__w1000_r5": 0.9888,288 "egarch11__t__w1000_r5": 1.0535,289 "garch11__normal__w1000_r5": 1.0,290 "garch11__t__w1000_r5": 1.0289,291 "gjr11__t__w1000_r5": 0.9465,292 "har_rv__empirical__w1000_r5": 1.1272,293 "histvar22__empirical__w1000_r5": 1.8562,294 "nagarch11__t__w1000_r5": 1.0705,295 "realgarch11__normal__w1000_r5": 0.9231296 },297 {298 "proxy": "rv5ss_on",299 "loss": "mse",300 "h": 1,301 "aparch11__t__w1000_r5": 0.9328,302 "egarch11__t__w1000_r5": 0.9007,303 "garch11__normal__w1000_r5": 1.0,304 "garch11__t__w1000_r5": 0.9937,305 "gjr11__t__w1000_r5": 0.8762,306 "har_rv__empirical__w1000_r5": 1.0134,307 "histvar22__empirical__w1000_r5": 1.1211,308 "nagarch11__t__w1000_r5": 0.9185,309 "realgarch11__normal__w1000_r5": 0.9983310 },311 {312 "proxy": "rv5ss_on",313 "loss": "mse",314 "h": 5,315 "aparch11__t__w1000_r5": 1.0132,316 "egarch11__t__w1000_r5": 1.0042,317 "garch11__normal__w1000_r5": 1.0,318 "garch11__t__w1000_r5": 1.0084,319 "gjr11__t__w1000_r5": 1.0091,320 "har_rv__empirical__w1000_r5": 1.0579,321 "histvar22__empirical__w1000_r5": 1.1324,322 "nagarch11__t__w1000_r5": 1.0718,323 "realgarch11__normal__w1000_r5": 0.9928324 },325 {326 "proxy": "rv5ss_on",327 "loss": "mse",328 "h": 22,329 "aparch11__t__w1000_r5": 1.1915,330 "egarch11__t__w1000_r5": 125.5394,331 "garch11__normal__w1000_r5": 1.0,332 "garch11__t__w1000_r5": 1.0598,333 "gjr11__t__w1000_r5": 1.1485,334 "har_rv__empirical__w1000_r5": 1.1446,335 "histvar22__empirical__w1000_r5": 1.1197,336 "nagarch11__t__w1000_r5": 1.6144,337 "realgarch11__normal__w1000_r5": 0.9569338 },339 {340 "proxy": "rv5ss_on",341 "loss": "qlike",342 "h": 1,343 "aparch11__t__w1000_r5": 0.8825,344 "egarch11__t__w1000_r5": 0.9323,345 "garch11__normal__w1000_r5": 1.0,346 "garch11__t__w1000_r5": 1.0045,347 "gjr11__t__w1000_r5": 0.8768,348 "har_rv__empirical__w1000_r5": 0.9885,349 "histvar22__empirical__w1000_r5": 1.3199,350 "nagarch11__t__w1000_r5": 0.89,351 "realgarch11__normal__w1000_r5": 0.8495352 },353 {354 "proxy": "rv5ss_on",355 "loss": "qlike",356 "h": 5,357 "aparch11__t__w1000_r5": 0.8907,358 "egarch11__t__w1000_r5": 0.9411,359 "garch11__normal__w1000_r5": 1.0,360 "garch11__t__w1000_r5": 1.0122,361 "gjr11__t__w1000_r5": 0.9055,362 "har_rv__empirical__w1000_r5": 1.0943,363 "histvar22__empirical__w1000_r5": 1.4392,364 "nagarch11__t__w1000_r5": 0.9177,365 "realgarch11__normal__w1000_r5": 0.88366 },367 {368 "proxy": "rv5ss_on",369 "loss": "qlike",370 "h": 22,371 "aparch11__t__w1000_r5": 0.9649,372 "egarch11__t__w1000_r5": 1.0113,373 "garch11__normal__w1000_r5": 1.0,374 "garch11__t__w1000_r5": 1.0259,375 "gjr11__t__w1000_r5": 0.9162,376 "har_rv__empirical__w1000_r5": 1.1674,377 "histvar22__empirical__w1000_r5": 1.4987,378 "nagarch11__t__w1000_r5": 1.0562,379 "realgarch11__normal__w1000_r5": 0.9078380 }381 ],382 "dm_vs_garch11_normal_h1_qlike": {383 "aparch11__t__w1000_r5": {384 "stat": -2.8973,385 "p": 0.0038,386 "mean_diff": -0.0368,387 "n": 1006,388 "bandwidth": 6389 },390 "egarch11__t__w1000_r5": {391 "stat": -1.3778,392 "p": 0.1686,393 "mean_diff": -0.0212,394 "n": 1006,395 "bandwidth": 6396 },397 "garch11__t__w1000_r5": {398 "stat": 0.6327,399 "p": 0.5271,400 "mean_diff": 0.0014,401 "n": 1006,402 "bandwidth": 6403 },404 "gjr11__t__w1000_r5": {405 "stat": -2.704,406 "p": 0.007,407 "mean_diff": -0.0385,408 "n": 1006,409 "bandwidth": 6410 },411 "har_rv__empirical__w1000_r5": {412 "stat": -0.1248,413 "p": 0.9007,414 "mean_diff": -0.0036,415 "n": 1006,416 "bandwidth": 6417 },418 "histvar22__empirical__w1000_r5": {419 "stat": 2.4896,420 "p": 0.013,421 "mean_diff": 0.1001,422 "n": 1006,423 "bandwidth": 6424 },425 "nagarch11__t__w1000_r5": {426 "stat": -2.3003,427 "p": 0.0216,428 "mean_diff": -0.0344,429 "n": 1006,430 "bandwidth": 6431 },432 "realgarch11__normal__w1000_r5": {433 "stat": -3.2275,434 "p": 0.0013,435 "mean_diff": -0.0471,436 "n": 1006,437 "bandwidth": 6438 }439 },440 "leakage_check_passed": true,441 "timing": {442 "mean": {443 "aparch11__t__w1000_r5": 0.0329,444 "egarch11__t__w1000_r5": 0.0095,445 "garch11__normal__w1000_r5": 0.0045,446 "garch11__t__w1000_r5": 0.0081,447 "gjr11__t__w1000_r5": 0.0088,448 "har_rv__empirical__w1000_r5": 0.0009,449 "histvar22__empirical__w1000_r5": 0.0,450 "nagarch11__t__w1000_r5": 0.0132,451 "realgarch11__normal__w1000_r5": 0.0173452 },453 "median": {454 "aparch11__t__w1000_r5": 0.0306,455 "egarch11__t__w1000_r5": 0.0092,456 "garch11__normal__w1000_r5": 0.0043,457 "garch11__t__w1000_r5": 0.008,458 "gjr11__t__w1000_r5": 0.0085,459 "har_rv__empirical__w1000_r5": 0.0009,460 "histvar22__empirical__w1000_r5": 0.0,461 "nagarch11__t__w1000_r5": 0.0123,462 "realgarch11__normal__w1000_r5": 0.0171463 },464 "max": {465 "aparch11__t__w1000_r5": 0.0826,466 "egarch11__t__w1000_r5": 0.0147,467 "garch11__normal__w1000_r5": 0.0083,468 "garch11__t__w1000_r5": 0.0128,469 "gjr11__t__w1000_r5": 0.0151,470 "har_rv__empirical__w1000_r5": 0.0012,471 "histvar22__empirical__w1000_r5": 0.0,472 "nagarch11__t__w1000_r5": 0.1703,473 "realgarch11__normal__w1000_r5": 0.0251474 }475 }476 },477 "AAPL": {478 "n_origins": 1006,479 "common_sample_n_h1": 9045,480 "status": {481 "ok": {482 "aparch11__t__w1000_r5": 1006,483 "egarch11__t__w1000_r5": 1006,484 "garch11__normal__w1000_r5": 1006,485 "garch11__t__w1000_r5": 1006,486 "gjr11__t__w1000_r5": 1006,487 "har_rv__empirical__w1000_r5": 1006,488 "histvar22__empirical__w1000_r5": 1006,489 "nagarch11__t__w1000_r5": 1006,490 "realgarch11__normal__w1000_r5": 1006491 }492 },493 "fit_status": {494 "ok": {495 "aparch11__t__w1000_r5": 202,496 "egarch11__t__w1000_r5": 202,497 "garch11__normal__w1000_r5": 202,498 "garch11__t__w1000_r5": 202,499 "gjr11__t__w1000_r5": 202,500 "har_rv__empirical__w1000_r5": 202,501 "histvar22__empirical__w1000_r5": 202,502 "nagarch11__t__w1000_r5": 202,503 "realgarch11__normal__w1000_r5": 202504 }505 },506 "mean_loss_common": [507 {508 "proxy": "r2",509 "loss": "mse",510 "h": 1,511 "aparch11__t__w1000_r5": 63.9954,512 "egarch11__t__w1000_r5": 65.6312,513 "garch11__normal__w1000_r5": 65.5948,514 "garch11__t__w1000_r5": 65.3112,515 "gjr11__t__w1000_r5": 68.8414,516 "har_rv__empirical__w1000_r5": 66.6239,517 "histvar22__empirical__w1000_r5": 66.7977,518 "nagarch11__t__w1000_r5": 65.7724,519 "realgarch11__normal__w1000_r5": 64.3054520 },521 {522 "proxy": "r2",523 "loss": "mse",524 "h": 5,525 "aparch11__t__w1000_r5": 331.7781,526 "egarch11__t__w1000_r5": 354.1177,527 "garch11__normal__w1000_r5": 370.295,528 "garch11__t__w1000_r5": 363.5172,529 "gjr11__t__w1000_r5": 428.4128,530 "har_rv__empirical__w1000_r5": 384.3455,531 "histvar22__empirical__w1000_r5": 406.0351,532 "nagarch11__t__w1000_r5": 368.9609,533 "realgarch11__normal__w1000_r5": 346.35534 },535 {536 "proxy": "r2",537 "loss": "mse",538 "h": 22,539 "aparch11__t__w1000_r5": 1853.9662,540 "egarch11__t__w1000_r5": 1973.9812,541 "garch11__normal__w1000_r5": 2481.6871,542 "garch11__t__w1000_r5": 2398.9439,543 "gjr11__t__w1000_r5": 2680.9436,544 "har_rv__empirical__w1000_r5": 2580.1309,545 "histvar22__empirical__w1000_r5": 3550.2234,546 "nagarch11__t__w1000_r5": 2189.4584,547 "realgarch11__normal__w1000_r5": 2136.5244548 },549 {550 "proxy": "r2",551 "loss": "qlike",552 "h": 1,553 "aparch11__t__w1000_r5": 1.573,554 "egarch11__t__w1000_r5": 1.5781,555 "garch11__normal__w1000_r5": 1.6113,556 "garch11__t__w1000_r5": 1.6119,557 "gjr11__t__w1000_r5": 1.5795,558 "har_rv__empirical__w1000_r5": 1.6297,559 "histvar22__empirical__w1000_r5": 1.7514,560 "nagarch11__t__w1000_r5": 1.5829,561 "realgarch11__normal__w1000_r5": 1.6305562 },563 {564 "proxy": "r2",565 "loss": "qlike",566 "h": 5,567 "aparch11__t__w1000_r5": 0.4383,568 "egarch11__t__w1000_r5": 0.4431,569 "garch11__normal__w1000_r5": 0.4651,570 "garch11__t__w1000_r5": 0.4636,571 "gjr11__t__w1000_r5": 0.4474,572 "har_rv__empirical__w1000_r5": 0.4788,573 "histvar22__empirical__w1000_r5": 0.5924,574 "nagarch11__t__w1000_r5": 0.4457,575 "realgarch11__normal__w1000_r5": 0.4843576 },577 {578 "proxy": "r2",579 "loss": "qlike",580 "h": 22,581 "aparch11__t__w1000_r5": 0.1763,582 "egarch11__t__w1000_r5": 0.182,583 "garch11__normal__w1000_r5": 0.2062,584 "garch11__t__w1000_r5": 0.2058,585 "gjr11__t__w1000_r5": 0.1937,586 "har_rv__empirical__w1000_r5": 0.2122,587 "histvar22__empirical__w1000_r5": 0.3985,588 "nagarch11__t__w1000_r5": 0.185,589 "realgarch11__normal__w1000_r5": 0.2022590 },591 {592 "proxy": "rv5ss_on",593 "loss": "mse",594 "h": 1,595 "aparch11__t__w1000_r5": 79.9621,596 "egarch11__t__w1000_r5": 81.3617,597 "garch11__normal__w1000_r5": 81.7481,598 "garch11__t__w1000_r5": 82.257,599 "gjr11__t__w1000_r5": 83.3473,600 "har_rv__empirical__w1000_r5": 83.075,601 "histvar22__empirical__w1000_r5": 84.0299,602 "nagarch11__t__w1000_r5": 81.5333,603 "realgarch11__normal__w1000_r5": 80.2777604 },605 {606 "proxy": "rv5ss_on",607 "loss": "mse",608 "h": 5,609 "aparch11__t__w1000_r5": 537.3465,610 "egarch11__t__w1000_r5": 555.5027,611 "garch11__normal__w1000_r5": 570.1734,612 "garch11__t__w1000_r5": 571.7817,613 "gjr11__t__w1000_r5": 617.2462,614 "har_rv__empirical__w1000_r5": 602.1478,615 "histvar22__empirical__w1000_r5": 615.0825,616 "nagarch11__t__w1000_r5": 572.6534,617 "realgarch11__normal__w1000_r5": 558.0099618 },619 {620 "proxy": "rv5ss_on",621 "loss": "mse",622 "h": 22,623 "aparch11__t__w1000_r5": 2908.9489,624 "egarch11__t__w1000_r5": 3022.5335,625 "garch11__normal__w1000_r5": 3462.8392,626 "garch11__t__w1000_r5": 3481.5861,627 "gjr11__t__w1000_r5": 3682.221,628 "har_rv__empirical__w1000_r5": 3624.0079,629 "histvar22__empirical__w1000_r5": 4570.0597,630 "nagarch11__t__w1000_r5": 3263.8213,631 "realgarch11__normal__w1000_r5": 3171.6604632 },633 {634 "proxy": "rv5ss_on",635 "loss": "qlike",636 "h": 1,637 "aparch11__t__w1000_r5": 0.5208,638 "egarch11__t__w1000_r5": 0.5224,639 "garch11__normal__w1000_r5": 0.5562,640 "garch11__t__w1000_r5": 0.5779,641 "gjr11__t__w1000_r5": 0.5125,642 "har_rv__empirical__w1000_r5": 0.6135,643 "histvar22__empirical__w1000_r5": 0.7153,644 "nagarch11__t__w1000_r5": 0.5389,645 "realgarch11__normal__w1000_r5": 0.5558646 },647 {648 "proxy": "rv5ss_on",649 "loss": "qlike",650 "h": 5,651 "aparch11__t__w1000_r5": 0.3808,652 "egarch11__t__w1000_r5": 0.3818,653 "garch11__normal__w1000_r5": 0.3923,654 "garch11__t__w1000_r5": 0.4039,655 "gjr11__t__w1000_r5": 0.3731,656 "har_rv__empirical__w1000_r5": 0.4347,657 "histvar22__empirical__w1000_r5": 0.5396,658 "nagarch11__t__w1000_r5": 0.3908,659 "realgarch11__normal__w1000_r5": 0.4225660 },661 {662 "proxy": "rv5ss_on",663 "loss": "qlike",664 "h": 22,665 "aparch11__t__w1000_r5": 0.2071,666 "egarch11__t__w1000_r5": 0.2124,667 "garch11__normal__w1000_r5": 0.2298,668 "garch11__t__w1000_r5": 0.2408,669 "gjr11__t__w1000_r5": 0.2179,670 "har_rv__empirical__w1000_r5": 0.2408,671 "histvar22__empirical__w1000_r5": 0.4482,672 "nagarch11__t__w1000_r5": 0.2146,673 "realgarch11__normal__w1000_r5": 0.2336674 }675 ],676 "ratio_to_garch11_normal": [677 {678 "proxy": "r2",679 "loss": "mse",680 "h": 1,681 "aparch11__t__w1000_r5": 0.9756,682 "egarch11__t__w1000_r5": 1.0006,683 "garch11__normal__w1000_r5": 1.0,684 "garch11__t__w1000_r5": 0.9957,685 "gjr11__t__w1000_r5": 1.0495,686 "har_rv__empirical__w1000_r5": 1.0157,687 "histvar22__empirical__w1000_r5": 1.0183,688 "nagarch11__t__w1000_r5": 1.0027,689 "realgarch11__normal__w1000_r5": 0.9803690 },691 {692 "proxy": "r2",693 "loss": "mse",694 "h": 5,695 "aparch11__t__w1000_r5": 0.896,696 "egarch11__t__w1000_r5": 0.9563,697 "garch11__normal__w1000_r5": 1.0,698 "garch11__t__w1000_r5": 0.9817,699 "gjr11__t__w1000_r5": 1.1569,700 "har_rv__empirical__w1000_r5": 1.0379,701 "histvar22__empirical__w1000_r5": 1.0965,702 "nagarch11__t__w1000_r5": 0.9964,703 "realgarch11__normal__w1000_r5": 0.9353704 },705 {706 "proxy": "r2",707 "loss": "mse",708 "h": 22,709 "aparch11__t__w1000_r5": 0.7471,710 "egarch11__t__w1000_r5": 0.7954,711 "garch11__normal__w1000_r5": 1.0,712 "garch11__t__w1000_r5": 0.9667,713 "gjr11__t__w1000_r5": 1.0803,714 "har_rv__empirical__w1000_r5": 1.0397,715 "histvar22__empirical__w1000_r5": 1.4306,716 "nagarch11__t__w1000_r5": 0.8822,717 "realgarch11__normal__w1000_r5": 0.8609718 },719 {720 "proxy": "r2",721 "loss": "qlike",722 "h": 1,723 "aparch11__t__w1000_r5": 0.9763,724 "egarch11__t__w1000_r5": 0.9794,725 "garch11__normal__w1000_r5": 1.0,726 "garch11__t__w1000_r5": 1.0004,727 "gjr11__t__w1000_r5": 0.9803,728 "har_rv__empirical__w1000_r5": 1.0114,729 "histvar22__empirical__w1000_r5": 1.0869,730 "nagarch11__t__w1000_r5": 0.9824,731 "realgarch11__normal__w1000_r5": 1.0119732 },733 {734 "proxy": "r2",735 "loss": "qlike",736 "h": 5,737 "aparch11__t__w1000_r5": 0.9424,738 "egarch11__t__w1000_r5": 0.9528,739 "garch11__normal__w1000_r5": 1.0,740 "garch11__t__w1000_r5": 0.9968,741 "gjr11__t__w1000_r5": 0.962,742 "har_rv__empirical__w1000_r5": 1.0293,743 "histvar22__empirical__w1000_r5": 1.2737,744 "nagarch11__t__w1000_r5": 0.9583,745 "realgarch11__normal__w1000_r5": 1.0412746 },747 {748 "proxy": "r2",749 "loss": "qlike",750 "h": 22,751 "aparch11__t__w1000_r5": 0.8549,752 "egarch11__t__w1000_r5": 0.8826,753 "garch11__normal__w1000_r5": 1.0,754 "garch11__t__w1000_r5": 0.9979,755 "gjr11__t__w1000_r5": 0.9394,756 "har_rv__empirical__w1000_r5": 1.0289,757 "histvar22__empirical__w1000_r5": 1.9325,758 "nagarch11__t__w1000_r5": 0.8973,759 "realgarch11__normal__w1000_r5": 0.9807760 },761 {762 "proxy": "rv5ss_on",763 "loss": "mse",764 "h": 1,765 "aparch11__t__w1000_r5": 0.9782,766 "egarch11__t__w1000_r5": 0.9953,767 "garch11__normal__w1000_r5": 1.0,768 "garch11__t__w1000_r5": 1.0062,769 "gjr11__t__w1000_r5": 1.0196,770 "har_rv__empirical__w1000_r5": 1.0162,771 "histvar22__empirical__w1000_r5": 1.0279,772 "nagarch11__t__w1000_r5": 0.9974,773 "realgarch11__normal__w1000_r5": 0.982774 },775 {776 "proxy": "rv5ss_on",777 "loss": "mse",778 "h": 5,779 "aparch11__t__w1000_r5": 0.9424,780 "egarch11__t__w1000_r5": 0.9743,781 "garch11__normal__w1000_r5": 1.0,782 "garch11__t__w1000_r5": 1.0028,783 "gjr11__t__w1000_r5": 1.0826,784 "har_rv__empirical__w1000_r5": 1.0561,785 "histvar22__empirical__w1000_r5": 1.0788,786 "nagarch11__t__w1000_r5": 1.0043,787 "realgarch11__normal__w1000_r5": 0.9787788 },789 {790 "proxy": "rv5ss_on",791 "loss": "mse",792 "h": 22,793 "aparch11__t__w1000_r5": 0.84,794 "egarch11__t__w1000_r5": 0.8728,795 "garch11__normal__w1000_r5": 1.0,796 "garch11__t__w1000_r5": 1.0054,797 "gjr11__t__w1000_r5": 1.0634,798 "har_rv__empirical__w1000_r5": 1.0465,799 "histvar22__empirical__w1000_r5": 1.3197,800 "nagarch11__t__w1000_r5": 0.9425,801 "realgarch11__normal__w1000_r5": 0.9159802 },803 {804 "proxy": "rv5ss_on",805 "loss": "qlike",806 "h": 1,807 "aparch11__t__w1000_r5": 0.9365,808 "egarch11__t__w1000_r5": 0.9393,809 "garch11__normal__w1000_r5": 1.0,810 "garch11__t__w1000_r5": 1.0391,811 "gjr11__t__w1000_r5": 0.9215,812 "har_rv__empirical__w1000_r5": 1.1031,813 "histvar22__empirical__w1000_r5": 1.2862,814 "nagarch11__t__w1000_r5": 0.9689,815 "realgarch11__normal__w1000_r5": 0.9994816 },817 {818 "proxy": "rv5ss_on",819 "loss": "qlike",820 "h": 5,821 "aparch11__t__w1000_r5": 0.9706,822 "egarch11__t__w1000_r5": 0.9732,823 "garch11__normal__w1000_r5": 1.0,824 "garch11__t__w1000_r5": 1.0296,825 "gjr11__t__w1000_r5": 0.951,826 "har_rv__empirical__w1000_r5": 1.1082,827 "histvar22__empirical__w1000_r5": 1.3756,828 "nagarch11__t__w1000_r5": 0.9962,829 "realgarch11__normal__w1000_r5": 1.077830 },831 {832 "proxy": "rv5ss_on",833 "loss": "qlike",834 "h": 22,835 "aparch11__t__w1000_r5": 0.9012,836 "egarch11__t__w1000_r5": 0.9244,837 "garch11__normal__w1000_r5": 1.0,838 "garch11__t__w1000_r5": 1.048,839 "gjr11__t__w1000_r5": 0.9483,840 "har_rv__empirical__w1000_r5": 1.0482,841 "histvar22__empirical__w1000_r5": 1.9505,842 "nagarch11__t__w1000_r5": 0.9338,843 "realgarch11__normal__w1000_r5": 1.0166844 }845 ],846 "dm_vs_garch11_normal_h1_qlike": {847 "aparch11__t__w1000_r5": {848 "stat": -1.9963,849 "p": 0.0462,850 "mean_diff": -0.0353,851 "n": 1005,852 "bandwidth": 6853 },854 "egarch11__t__w1000_r5": {855 "stat": -2.0076,856 "p": 0.045,857 "mean_diff": -0.0338,858 "n": 1005,859 "bandwidth": 6860 },861 "garch11__t__w1000_r5": {862 "stat": 1.5272,863 "p": 0.127,864 "mean_diff": 0.0217,865 "n": 1005,866 "bandwidth": 6867 },868 "gjr11__t__w1000_r5": {869 "stat": -2.2136,870 "p": 0.0271,871 "mean_diff": -0.0437,872 "n": 1005,873 "bandwidth": 6874 },875 "har_rv__empirical__w1000_r5": {876 "stat": 1.8475,877 "p": 0.065,878 "mean_diff": 0.0573,879 "n": 1005,880 "bandwidth": 6881 },882 "histvar22__empirical__w1000_r5": {883 "stat": 2.5917,884 "p": 0.0097,885 "mean_diff": 0.1592,886 "n": 1005,887 "bandwidth": 6888 },889 "nagarch11__t__w1000_r5": {890 "stat": -0.8589,891 "p": 0.3906,892 "mean_diff": -0.0173,893 "n": 1005,894 "bandwidth": 6895 },896 "realgarch11__normal__w1000_r5": {897 "stat": -0.0117,898 "p": 0.9907,899 "mean_diff": -0.0003,900 "n": 1005,901 "bandwidth": 6902 }903 },904 "leakage_check_passed": true,905 "timing": {906 "mean": {907 "aparch11__t__w1000_r5": 0.0372,908 "egarch11__t__w1000_r5": 0.007,909 "garch11__normal__w1000_r5": 0.0045,910 "garch11__t__w1000_r5": 0.0082,911 "gjr11__t__w1000_r5": 0.0072,912 "har_rv__empirical__w1000_r5": 0.0011,913 "histvar22__empirical__w1000_r5": 0.0,914 "nagarch11__t__w1000_r5": 0.0085,915 "realgarch11__normal__w1000_r5": 0.0277916 },917 "median": {918 "aparch11__t__w1000_r5": 0.0337,919 "egarch11__t__w1000_r5": 0.0069,920 "garch11__normal__w1000_r5": 0.0045,921 "garch11__t__w1000_r5": 0.0081,922 "gjr11__t__w1000_r5": 0.0071,923 "har_rv__empirical__w1000_r5": 0.0009,924 "histvar22__empirical__w1000_r5": 0.0,925 "nagarch11__t__w1000_r5": 0.0084,926 "realgarch11__normal__w1000_r5": 0.0274927 },928 "max": {929 "aparch11__t__w1000_r5": 0.1041,930 "egarch11__t__w1000_r5": 0.0101,931 "garch11__normal__w1000_r5": 0.0064,932 "garch11__t__w1000_r5": 0.013,933 "gjr11__t__w1000_r5": 0.0096,934 "har_rv__empirical__w1000_r5": 0.0443,935 "histvar22__empirical__w1000_r5": 0.0,936 "nagarch11__t__w1000_r5": 0.0106,937 "realgarch11__normal__w1000_r5": 0.0382938 }939 }940 },941 "CL": {942 "n_origins": 1032,943 "common_sample_n_h1": 9279,944 "status": {945 "ok": {946 "aparch11__t__w1000_r5": 1032,947 "egarch11__t__w1000_r5": 1032,948 "garch11__normal__w1000_r5": 1032,949 "garch11__t__w1000_r5": 1032,950 "gjr11__t__w1000_r5": 1032,951 "har_rv__empirical__w1000_r5": 1032,952 "histvar22__empirical__w1000_r5": 1032,953 "nagarch11__t__w1000_r5": 1032,954 "realgarch11__normal__w1000_r5": 1032955 }956 },957 "fit_status": {958 "ok": {959 "aparch11__t__w1000_r5": 207,960 "egarch11__t__w1000_r5": 207,961 "garch11__normal__w1000_r5": 207,962 "garch11__t__w1000_r5": 207,963 "gjr11__t__w1000_r5": 207,964 "har_rv__empirical__w1000_r5": 207,965 "histvar22__empirical__w1000_r5": 207,966 "nagarch11__t__w1000_r5": 207,967 "realgarch11__normal__w1000_r5": 207968 }969 },970 "mean_loss_common": [971 {972 "proxy": "r2",973 "loss": "mse",974 "h": 1,975 "aparch11__t__w1000_r5": 38.8482,976 "egarch11__t__w1000_r5": 38.7292,977 "garch11__normal__w1000_r5": 39.4219,978 "garch11__t__w1000_r5": 39.4059,979 "gjr11__t__w1000_r5": 39.02,980 "har_rv__empirical__w1000_r5": 38.4856,981 "histvar22__empirical__w1000_r5": 40.9943,982 "nagarch11__t__w1000_r5": 38.5934,983 "realgarch11__normal__w1000_r5": 37.7234984 },985 {986 "proxy": "r2",987 "loss": "mse",988 "h": 5,989 "aparch11__t__w1000_r5": 304.1408,990 "egarch11__t__w1000_r5": 297.2119,991 "garch11__normal__w1000_r5": 356.9256,992 "garch11__t__w1000_r5": 357.0676,993 "gjr11__t__w1000_r5": 311.3525,994 "har_rv__empirical__w1000_r5": 336.0283,995 "histvar22__empirical__w1000_r5": 401.0389,996 "nagarch11__t__w1000_r5": 298.4274,997 "realgarch11__normal__w1000_r5": 322.8226998 },999 {1000 "proxy": "r2",1001 "loss": "mse",1002 "h": 22,1003 "aparch11__t__w1000_r5": 2558.5402,1004 "egarch11__t__w1000_r5": 2359.8787,1005 "garch11__normal__w1000_r5": 4169.6531,1006 "garch11__t__w1000_r5": 4197.1704,1007 "gjr11__t__w1000_r5": 2807.0867,1008 "har_rv__empirical__w1000_r5": 3382.7094,1009 "histvar22__empirical__w1000_r5": 4987.9416,1010 "nagarch11__t__w1000_r5": 2423.8364,1011 "realgarch11__normal__w1000_r5": 3417.30791012 },1013 {1014 "proxy": "r2",1015 "loss": "qlike",1016 "h": 1,1017 "aparch11__t__w1000_r5": 1.2637,1018 "egarch11__t__w1000_r5": 1.2604,1019 "garch11__normal__w1000_r5": 1.289,1020 "garch11__t__w1000_r5": 1.2862,1021 "gjr11__t__w1000_r5": 1.2661,1022 "har_rv__empirical__w1000_r5": 1.2492,1023 "histvar22__empirical__w1000_r5": 1.3069,1024 "nagarch11__t__w1000_r5": 1.2645,1025 "realgarch11__normal__w1000_r5": 1.26011026 },1027 {1028 "proxy": "r2",1029 "loss": "qlike",1030 "h": 5,1031 "aparch11__t__w1000_r5": 0.3129,1032 "egarch11__t__w1000_r5": 0.3073,1033 "garch11__normal__w1000_r5": 0.3477,1034 "garch11__t__w1000_r5": 0.3446,1035 "gjr11__t__w1000_r5": 0.316,1036 "har_rv__empirical__w1000_r5": 0.318,1037 "histvar22__empirical__w1000_r5": 0.3653,1038 "nagarch11__t__w1000_r5": 0.3137,1039 "realgarch11__normal__w1000_r5": 0.32211040 },1041 {1042 "proxy": "r2",1043 "loss": "qlike",1044 "h": 22,1045 "aparch11__t__w1000_r5": 0.1605,1046 "egarch11__t__w1000_r5": 0.1506,1047 "garch11__normal__w1000_r5": 0.2137,1048 "garch11__t__w1000_r5": 0.2093,1049 "gjr11__t__w1000_r5": 0.1691,1050 "har_rv__empirical__w1000_r5": 0.1849,1051 "histvar22__empirical__w1000_r5": 0.2493,1052 "nagarch11__t__w1000_r5": 0.1602,1053 "realgarch11__normal__w1000_r5": 0.20031054 },1055 {1056 "proxy": "rv5ss_on",1057 "loss": "mse",1058 "h": 1,1059 "aparch11__t__w1000_r5": 7.4038,1060 "egarch11__t__w1000_r5": 7.4551,1061 "garch11__normal__w1000_r5": 8.0074,1062 "garch11__t__w1000_r5": 7.9634,1063 "gjr11__t__w1000_r5": 7.5711,1064 "har_rv__empirical__w1000_r5": 6.9611,1065 "histvar22__empirical__w1000_r5": 10.1669,1066 "nagarch11__t__w1000_r5": 7.1532,1067 "realgarch11__normal__w1000_r5": 6.73871068 },1069 {1070 "proxy": "rv5ss_on",1071 "loss": "mse",1072 "h": 5,1073 "aparch11__t__w1000_r5": 97.0029,1074 "egarch11__t__w1000_r5": 94.4326,1075 "garch11__normal__w1000_r5": 134.2716,1076 "garch11__t__w1000_r5": 133.8063,1077 "gjr11__t__w1000_r5": 104.9043,1078 "har_rv__empirical__w1000_r5": 112.4285,1079 "histvar22__empirical__w1000_r5": 181.9574,1080 "nagarch11__t__w1000_r5": 89.047,1081 "realgarch11__normal__w1000_r5": 108.49141082 },1083 {1084 "proxy": "rv5ss_on",1085 "loss": "mse",1086 "h": 22,1087 "aparch11__t__w1000_r5": 1650.0012,1088 "egarch11__t__w1000_r5": 1508.4779,1089 "garch11__normal__w1000_r5": 2977.7956,1090 "garch11__t__w1000_r5": 2997.7164,1091 "gjr11__t__w1000_r5": 1937.2537,1092 "har_rv__empirical__w1000_r5": 2274.3908,1093 "histvar22__empirical__w1000_r5": 3756.9648,1094 "nagarch11__t__w1000_r5": 1409.9449,1095 "realgarch11__normal__w1000_r5": 2537.43971096 },1097 {1098 "proxy": "rv5ss_on",1099 "loss": "qlike",1100 "h": 1,1101 "aparch11__t__w1000_r5": 0.1183,1102 "egarch11__t__w1000_r5": 0.1184,1103 "garch11__normal__w1000_r5": 0.1239,1104 "garch11__t__w1000_r5": 0.1227,1105 "gjr11__t__w1000_r5": 0.1161,1106 "har_rv__empirical__w1000_r5": 0.0902,1107 "histvar22__empirical__w1000_r5": 0.1585,1108 "nagarch11__t__w1000_r5": 0.1205,1109 "realgarch11__normal__w1000_r5": 0.09371110 },1111 {1112 "proxy": "rv5ss_on",1113 "loss": "qlike",1114 "h": 5,1115 "aparch11__t__w1000_r5": 0.0883,1116 "egarch11__t__w1000_r5": 0.0864,1117 "garch11__normal__w1000_r5": 0.1023,1118 "garch11__t__w1000_r5": 0.1007,1119 "gjr11__t__w1000_r5": 0.088,1120 "har_rv__empirical__w1000_r5": 0.087,1121 "histvar22__empirical__w1000_r5": 0.1356,1122 "nagarch11__t__w1000_r5": 0.0896,1123 "realgarch11__normal__w1000_r5": 0.08231124 },1125 {1126 "proxy": "rv5ss_on",1127 "loss": "qlike",1128 "h": 22,1129 "aparch11__t__w1000_r5": 0.1026,1130 "egarch11__t__w1000_r5": 0.0951,1131 "garch11__normal__w1000_r5": 0.1405,1132 "garch11__t__w1000_r5": 0.1365,1133 "gjr11__t__w1000_r5": 0.1104,1134 "har_rv__empirical__w1000_r5": 0.1238,1135 "histvar22__empirical__w1000_r5": 0.1673,1136 "nagarch11__t__w1000_r5": 0.1019,1137 "realgarch11__normal__w1000_r5": 0.14251138 }1139 ],1140 "ratio_to_garch11_normal": [1141 {1142 "proxy": "r2",1143 "loss": "mse",1144 "h": 1,1145 "aparch11__t__w1000_r5": 0.9854,1146 "egarch11__t__w1000_r5": 0.9824,1147 "garch11__normal__w1000_r5": 1.0,1148 "garch11__t__w1000_r5": 0.9996,1149 "gjr11__t__w1000_r5": 0.9898,1150 "har_rv__empirical__w1000_r5": 0.9762,1151 "histvar22__empirical__w1000_r5": 1.0399,1152 "nagarch11__t__w1000_r5": 0.979,1153 "realgarch11__normal__w1000_r5": 0.95691154 },1155 {1156 "proxy": "r2",1157 "loss": "mse",1158 "h": 5,1159 "aparch11__t__w1000_r5": 0.8521,1160 "egarch11__t__w1000_r5": 0.8327,1161 "garch11__normal__w1000_r5": 1.0,1162 "garch11__t__w1000_r5": 1.0004,1163 "gjr11__t__w1000_r5": 0.8723,1164 "har_rv__empirical__w1000_r5": 0.9415,1165 "histvar22__empirical__w1000_r5": 1.1236,1166 "nagarch11__t__w1000_r5": 0.8361,1167 "realgarch11__normal__w1000_r5": 0.90451168 },1169 {1170 "proxy": "r2",1171 "loss": "mse",1172 "h": 22,1173 "aparch11__t__w1000_r5": 0.6136,1174 "egarch11__t__w1000_r5": 0.566,1175 "garch11__normal__w1000_r5": 1.0,1176 "garch11__t__w1000_r5": 1.0066,1177 "gjr11__t__w1000_r5": 0.6732,1178 "har_rv__empirical__w1000_r5": 0.8113,1179 "histvar22__empirical__w1000_r5": 1.1962,1180 "nagarch11__t__w1000_r5": 0.5813,1181 "realgarch11__normal__w1000_r5": 0.81961182 },1183 {1184 "proxy": "r2",1185 "loss": "qlike",1186 "h": 1,1187 "aparch11__t__w1000_r5": 0.9804,1188 "egarch11__t__w1000_r5": 0.9778,1189 "garch11__normal__w1000_r5": 1.0,1190 "garch11__t__w1000_r5": 0.9979,1191 "gjr11__t__w1000_r5": 0.9823,1192 "har_rv__empirical__w1000_r5": 0.9691,1193 "histvar22__empirical__w1000_r5": 1.0139,1194 "nagarch11__t__w1000_r5": 0.981,1195 "realgarch11__normal__w1000_r5": 0.97761196 },1197 {1198 "proxy": "r2",1199 "loss": "qlike",1200 "h": 5,1201 "aparch11__t__w1000_r5": 0.9,1202 "egarch11__t__w1000_r5": 0.8837,1203 "garch11__normal__w1000_r5": 1.0,1204 "garch11__t__w1000_r5": 0.9912,1205 "gjr11__t__w1000_r5": 0.9089,1206 "har_rv__empirical__w1000_r5": 0.9147,1207 "histvar22__empirical__w1000_r5": 1.0507,1208 "nagarch11__t__w1000_r5": 0.9022,1209 "realgarch11__normal__w1000_r5": 0.92651210 },1211 {1212 "proxy": "r2",1213 "loss": "qlike",1214 "h": 22,1215 "aparch11__t__w1000_r5": 0.7508,1216 "egarch11__t__w1000_r5": 0.7048,1217 "garch11__normal__w1000_r5": 1.0,1218 "garch11__t__w1000_r5": 0.9795,1219 "gjr11__t__w1000_r5": 0.7913,1220 "har_rv__empirical__w1000_r5": 0.8653,1221 "histvar22__empirical__w1000_r5": 1.1667,1222 "nagarch11__t__w1000_r5": 0.7496,1223 "realgarch11__normal__w1000_r5": 0.93711224 },1225 {1226 "proxy": "rv5ss_on",1227 "loss": "mse",1228 "h": 1,1229 "aparch11__t__w1000_r5": 0.9246,1230 "egarch11__t__w1000_r5": 0.931,1231 "garch11__normal__w1000_r5": 1.0,1232 "garch11__t__w1000_r5": 0.9945,1233 "gjr11__t__w1000_r5": 0.9455,1234 "har_rv__empirical__w1000_r5": 0.8693,1235 "histvar22__empirical__w1000_r5": 1.2697,1236 "nagarch11__t__w1000_r5": 0.8933,1237 "realgarch11__normal__w1000_r5": 0.84161238 },1239 {1240 "proxy": "rv5ss_on",1241 "loss": "mse",1242 "h": 5,1243 "aparch11__t__w1000_r5": 0.7224,1244 "egarch11__t__w1000_r5": 0.7033,1245 "garch11__normal__w1000_r5": 1.0,1246 "garch11__t__w1000_r5": 0.9965,1247 "gjr11__t__w1000_r5": 0.7813,1248 "har_rv__empirical__w1000_r5": 0.8373,1249 "histvar22__empirical__w1000_r5": 1.3551,1250 "nagarch11__t__w1000_r5": 0.6632,1251 "realgarch11__normal__w1000_r5": 0.8081252 },1253 {1254 "proxy": "rv5ss_on",1255 "loss": "mse",1256 "h": 22,1257 "aparch11__t__w1000_r5": 0.5541,1258 "egarch11__t__w1000_r5": 0.5066,1259 "garch11__normal__w1000_r5": 1.0,1260 "garch11__t__w1000_r5": 1.0067,1261 "gjr11__t__w1000_r5": 0.6506,1262 "har_rv__empirical__w1000_r5": 0.7638,1263 "histvar22__empirical__w1000_r5": 1.2617,1264 "nagarch11__t__w1000_r5": 0.4735,1265 "realgarch11__normal__w1000_r5": 0.85211266 },1267 {1268 "proxy": "rv5ss_on",1269 "loss": "qlike",1270 "h": 1,1271 "aparch11__t__w1000_r5": 0.9549,1272 "egarch11__t__w1000_r5": 0.9557,1273 "garch11__normal__w1000_r5": 1.0,1274 "garch11__t__w1000_r5": 0.9907,1275 "gjr11__t__w1000_r5": 0.9375,1276 "har_rv__empirical__w1000_r5": 0.728,1277 "histvar22__empirical__w1000_r5": 1.2798,1278 "nagarch11__t__w1000_r5": 0.9728,1279 "realgarch11__normal__w1000_r5": 0.75641280 },1281 {1282 "proxy": "rv5ss_on",1283 "loss": "qlike",1284 "h": 5,1285 "aparch11__t__w1000_r5": 0.8638,1286 "egarch11__t__w1000_r5": 0.8447,1287 "garch11__normal__w1000_r5": 1.0,1288 "garch11__t__w1000_r5": 0.9851,1289 "gjr11__t__w1000_r5": 0.861,1290 "har_rv__empirical__w1000_r5": 0.8506,1291 "histvar22__empirical__w1000_r5": 1.3261,1292 "nagarch11__t__w1000_r5": 0.8762,1293 "realgarch11__normal__w1000_r5": 0.80481294 },1295 {1296 "proxy": "rv5ss_on",1297 "loss": "qlike",1298 "h": 22,1299 "aparch11__t__w1000_r5": 0.7302,1300 "egarch11__t__w1000_r5": 0.677,1301 "garch11__normal__w1000_r5": 1.0,1302 "garch11__t__w1000_r5": 0.9712,1303 "gjr11__t__w1000_r5": 0.7854,1304 "har_rv__empirical__w1000_r5": 0.8813,1305 "histvar22__empirical__w1000_r5": 1.1903,1306 "nagarch11__t__w1000_r5": 0.7253,1307 "realgarch11__normal__w1000_r5": 1.01371308 }1309 ],1310 "dm_vs_garch11_normal_h1_qlike": {1311 "aparch11__t__w1000_r5": {1312 "stat": -0.8398,1313 "p": 0.4012,1314 "mean_diff": -0.0056,1315 "n": 1031,1316 "bandwidth": 61317 },1318 "egarch11__t__w1000_r5": {1319 "stat": -0.7801,1320 "p": 0.4355,1321 "mean_diff": -0.0055,1322 "n": 1031,1323 "bandwidth": 61324 },1325 "garch11__t__w1000_r5": {1326 "stat": -1.1594,1327 "p": 0.2466,1328 "mean_diff": -0.0012,1329 "n": 1031,1330 "bandwidth": 61331 },1332 "gjr11__t__w1000_r5": {1333 "stat": -1.4247,1334 "p": 0.1545,1335 "mean_diff": -0.0077,1336 "n": 1031,1337 "bandwidth": 61338 },1339 "har_rv__empirical__w1000_r5": {1340 "stat": -6.3176,1341 "p": 0.0,1342 "mean_diff": -0.0337,1343 "n": 1031,1344 "bandwidth": 61345 },1346 "histvar22__empirical__w1000_r5": {1347 "stat": 2.8833,1348 "p": 0.004,1349 "mean_diff": 0.0347,1350 "n": 1031,1351 "bandwidth": 61352 },1353 "nagarch11__t__w1000_r5": {1354 "stat": -0.525,1355 "p": 0.5997,1356 "mean_diff": -0.0034,1357 "n": 1031,1358 "bandwidth": 61359 },1360 "realgarch11__normal__w1000_r5": {1361 "stat": -5.6857,1362 "p": 0.0,1363 "mean_diff": -0.0302,1364 "n": 1031,1365 "bandwidth": 61366 }1367 },1368 "leakage_check_passed": true,1369 "timing": {1370 "mean": {1371 "aparch11__t__w1000_r5": 0.0327,1372 "egarch11__t__w1000_r5": 0.009,1373 "garch11__normal__w1000_r5": 0.0049,1374 "garch11__t__w1000_r5": 0.0071,1375 "gjr11__t__w1000_r5": 0.0082,1376 "har_rv__empirical__w1000_r5": 0.0008,1377 "histvar22__empirical__w1000_r5": 0.0,1378 "nagarch11__t__w1000_r5": 0.0089,1379 "realgarch11__normal__w1000_r5": 0.02821380 },1381 "median": {1382 "aparch11__t__w1000_r5": 0.0322,1383 "egarch11__t__w1000_r5": 0.0089,1384 "garch11__normal__w1000_r5": 0.0048,1385 "garch11__t__w1000_r5": 0.0068,1386 "gjr11__t__w1000_r5": 0.0082,1387 "har_rv__empirical__w1000_r5": 0.0008,1388 "histvar22__empirical__w1000_r5": 0.0,1389 "nagarch11__t__w1000_r5": 0.0088,1390 "realgarch11__normal__w1000_r5": 0.02741391 },1392 "max": {1393 "aparch11__t__w1000_r5": 0.0507,1394 "egarch11__t__w1000_r5": 0.0259,1395 "garch11__normal__w1000_r5": 0.0091,1396 "garch11__t__w1000_r5": 0.0145,1397 "gjr11__t__w1000_r5": 0.0113,1398 "har_rv__empirical__w1000_r5": 0.001,1399 "histvar22__empirical__w1000_r5": 0.0,1400 "nagarch11__t__w1000_r5": 0.0131,1401 "realgarch11__normal__w1000_r5": 0.03841402 }1403 }1404 },1405 "EURUSD": {1406 "n_origins": 556,1407 "common_sample_n_h1": 4824,1408 "status": {1409 "forecast_failed": {1410 "aparch11__t__w1000_r5": 0,1411 "egarch11__t__w1000_r5": 20,1412 "garch11__normal__w1000_r5": 0,1413 "garch11__t__w1000_r5": 0,1414 "gjr11__t__w1000_r5": 0,1415 "har_rv__empirical__w1000_r5": 0,1416 "histvar22__empirical__w1000_r5": 0,1417 "nagarch11__t__w1000_r5": 0,1418 "realgarch11__normal__w1000_r5": 01419 },1420 "ok": {1421 "aparch11__t__w1000_r5": 556,1422 "egarch11__t__w1000_r5": 536,1423 "garch11__normal__w1000_r5": 556,1424 "garch11__t__w1000_r5": 556,1425 "gjr11__t__w1000_r5": 556,1426 "har_rv__empirical__w1000_r5": 556,1427 "histvar22__empirical__w1000_r5": 556,1428 "nagarch11__t__w1000_r5": 556,1429 "realgarch11__normal__w1000_r5": 5561430 }1431 },1432 "fit_status": {1433 "inadmissible": {1434 "aparch11__t__w1000_r5": 0,1435 "egarch11__t__w1000_r5": 17,1436 "garch11__normal__w1000_r5": 0,1437 "garch11__t__w1000_r5": 13,1438 "gjr11__t__w1000_r5": 23,1439 "har_rv__empirical__w1000_r5": 0,1440 "histvar22__empirical__w1000_r5": 0,1441 "nagarch11__t__w1000_r5": 0,1442 "realgarch11__normal__w1000_r5": 01443 },1444 "ok": {1445 "aparch11__t__w1000_r5": 112,1446 "egarch11__t__w1000_r5": 95,1447 "garch11__normal__w1000_r5": 112,1448 "garch11__t__w1000_r5": 99,1449 "gjr11__t__w1000_r5": 89,1450 "har_rv__empirical__w1000_r5": 112,1451 "histvar22__empirical__w1000_r5": 112,1452 "nagarch11__t__w1000_r5": 112,1453 "realgarch11__normal__w1000_r5": 1121454 }1455 },1456 "mean_loss_common": [1457 {1458 "proxy": "r2",1459 "loss": "mse",1460 "h": 1,1461 "aparch11__t__w1000_r5": 0.5368,1462 "egarch11__t__w1000_r5": 1826.7271,1463 "garch11__normal__w1000_r5": 0.5463,1464 "garch11__t__w1000_r5": 0.5473,1465 "gjr11__t__w1000_r5": 0.5373,1466 "har_rv__empirical__w1000_r5": 0.5338,1467 "histvar22__empirical__w1000_r5": 0.5812,1468 "nagarch11__t__w1000_r5": 0.5392,1469 "realgarch11__normal__w1000_r5": 0.53961470 },1471 {1472 "proxy": "r2",1473 "loss": "mse",1474 "h": 5,1475 "aparch11__t__w1000_r5": 3.6763,1476 "egarch11__t__w1000_r5": 44605.0352,1477 "garch11__normal__w1000_r5": 4.0216,1478 "garch11__t__w1000_r5": 4.0493,1479 "gjr11__t__w1000_r5": 3.6702,1480 "har_rv__empirical__w1000_r5": 3.9827,1481 "histvar22__empirical__w1000_r5": 4.938,1482 "nagarch11__t__w1000_r5": 3.7071,1483 "realgarch11__normal__w1000_r5": 3.91531484 },1485 {1486 "proxy": "r2",1487 "loss": "mse",1488 "h": 22,1489 "aparch11__t__w1000_r5": 21.4197,1490 "egarch11__t__w1000_r5": 783971.668,1491 "garch11__normal__w1000_r5": 27.6274,1492 "garch11__t__w1000_r5": 28.5242,1493 "gjr11__t__w1000_r5": 21.8365,1494 "har_rv__empirical__w1000_r5": 26.2661,1495 "histvar22__empirical__w1000_r5": 39.1502,1496 "nagarch11__t__w1000_r5": 23.1768,1497 "realgarch11__normal__w1000_r5": 27.73911498 },1499 {1500 "proxy": "r2",1501 "loss": "qlike",1502 "h": 1,1503 "aparch11__t__w1000_r5": 1.4742,1504 "egarch11__t__w1000_r5": 1.5146,1505 "garch11__normal__w1000_r5": 1.5007,1506 "garch11__t__w1000_r5": 1.5006,1507 "gjr11__t__w1000_r5": 1.462,1508 "har_rv__empirical__w1000_r5": 1.4493,1509 "histvar22__empirical__w1000_r5": 1.5827,1510 "nagarch11__t__w1000_r5": 1.4688,1511 "realgarch11__normal__w1000_r5": 1.47551512 },1513 {1514 "proxy": "r2",1515 "loss": "qlike",1516 "h": 5,1517 "aparch11__t__w1000_r5": 0.3989,1518 "egarch11__t__w1000_r5": 0.4866,1519 "garch11__normal__w1000_r5": 0.4353,1520 "garch11__t__w1000_r5": 0.4355,1521 "gjr11__t__w1000_r5": 0.387,1522 "har_rv__empirical__w1000_r5": 0.4172,1523 "histvar22__empirical__w1000_r5": 0.5214,1524 "nagarch11__t__w1000_r5": 0.393,1525 "realgarch11__normal__w1000_r5": 0.42551526 },1527 {1528 "proxy": "r2",1529 "loss": "qlike",1530 "h": 22,1531 "aparch11__t__w1000_r5": 0.1832,1532 "egarch11__t__w1000_r5": 0.2904,1533 "garch11__normal__w1000_r5": 0.2365,1534 "garch11__t__w1000_r5": 0.2421,1535 "gjr11__t__w1000_r5": 0.1821,1536 "har_rv__empirical__w1000_r5": 0.2096,1537 "histvar22__empirical__w1000_r5": 0.2898,1538 "nagarch11__t__w1000_r5": 0.1963,1539 "realgarch11__normal__w1000_r5": 0.22861540 },1541 {1542 "proxy": "rv5ss_on",1543 "loss": "mse",1544 "h": 1,1545 "aparch11__t__w1000_r5": 0.1087,1546 "egarch11__t__w1000_r5": 1826.4258,1547 "garch11__normal__w1000_r5": 0.1093,1548 "garch11__t__w1000_r5": 0.1089,1549 "gjr11__t__w1000_r5": 0.1066,1550 "har_rv__empirical__w1000_r5": 0.1048,1551 "histvar22__empirical__w1000_r5": 0.1317,1552 "nagarch11__t__w1000_r5": 0.1076,1553 "realgarch11__normal__w1000_r5": 0.10781554 },1555 {1556 "proxy": "rv5ss_on",1557 "loss": "mse",1558 "h": 5,1559 "aparch11__t__w1000_r5": 0.9514,1560 "egarch11__t__w1000_r5": 44609.1102,1561 "garch11__normal__w1000_r5": 1.031,1562 "garch11__t__w1000_r5": 1.0254,1563 "gjr11__t__w1000_r5": 0.8869,1564 "har_rv__empirical__w1000_r5": 0.9668,1565 "histvar22__empirical__w1000_r5": 1.634,1566 "nagarch11__t__w1000_r5": 0.9049,1567 "realgarch11__normal__w1000_r5": 0.99441568 },1569 {1570 "proxy": "rv5ss_on",1571 "loss": "mse",1572 "h": 22,1573 "aparch11__t__w1000_r5": 9.0139,1574 "egarch11__t__w1000_r5": 783877.1803,1575 "garch11__normal__w1000_r5": 10.7229,1576 "garch11__t__w1000_r5": 10.7226,1577 "gjr11__t__w1000_r5": 8.0956,1578 "har_rv__empirical__w1000_r5": 9.7307,1579 "histvar22__empirical__w1000_r5": 19.1251,1580 "nagarch11__t__w1000_r5": 8.6471,1581 "realgarch11__normal__w1000_r5": 12.33671582 },1583 {1584 "proxy": "rv5ss_on",1585 "loss": "qlike",1586 "h": 1,1587 "aparch11__t__w1000_r5": 0.1971,1588 "egarch11__t__w1000_r5": 0.2709,1589 "garch11__normal__w1000_r5": 0.205,1590 "garch11__t__w1000_r5": 0.2081,1591 "gjr11__t__w1000_r5": 0.1892,1592 "har_rv__empirical__w1000_r5": 0.1829,1593 "histvar22__empirical__w1000_r5": 0.2918,1594 "nagarch11__t__w1000_r5": 0.1941,1595 "realgarch11__normal__w1000_r5": 0.22831596 },1597 {1598 "proxy": "rv5ss_on",1599 "loss": "qlike",1600 "h": 5,1601 "aparch11__t__w1000_r5": 0.1028,1602 "egarch11__t__w1000_r5": 0.197,1603 "garch11__normal__w1000_r5": 0.1193,1604 "garch11__t__w1000_r5": 0.1222,1605 "gjr11__t__w1000_r5": 0.0955,1606 "har_rv__empirical__w1000_r5": 0.1052,1607 "histvar22__empirical__w1000_r5": 0.2115,1608 "nagarch11__t__w1000_r5": 0.1009,1609 "realgarch11__normal__w1000_r5": 0.13911610 },1611 {1612 "proxy": "rv5ss_on",1613 "loss": "qlike",1614 "h": 22,1615 "aparch11__t__w1000_r5": 0.0788,1616 "egarch11__t__w1000_r5": 0.1799,1617 "garch11__normal__w1000_r5": 0.1065,1618 "garch11__t__w1000_r5": 0.1119,1619 "gjr11__t__w1000_r5": 0.0752,1620 "har_rv__empirical__w1000_r5": 0.0835,1621 "histvar22__empirical__w1000_r5": 0.1806,1622 "nagarch11__t__w1000_r5": 0.0848,1623 "realgarch11__normal__w1000_r5": 0.11841624 }1625 ],1626 "ratio_to_garch11_normal": [1627 {1628 "proxy": "r2",1629 "loss": "mse",1630 "h": 1,1631 "aparch11__t__w1000_r5": 0.9825,1632 "egarch11__t__w1000_r5": 3343.5234,1633 "garch11__normal__w1000_r5": 1.0,1634 "garch11__t__w1000_r5": 1.0017,1635 "gjr11__t__w1000_r5": 0.9834,1636 "har_rv__empirical__w1000_r5": 0.9771,1637 "histvar22__empirical__w1000_r5": 1.0637,1638 "nagarch11__t__w1000_r5": 0.9869,1639 "realgarch11__normal__w1000_r5": 0.98771640 },1641 {1642 "proxy": "r2",1643 "loss": "mse",1644 "h": 5,1645 "aparch11__t__w1000_r5": 0.9141,1646 "egarch11__t__w1000_r5": 11091.4378,1647 "garch11__normal__w1000_r5": 1.0,1648 "garch11__t__w1000_r5": 1.0069,1649 "gjr11__t__w1000_r5": 0.9126,1650 "har_rv__empirical__w1000_r5": 0.9903,1651 "histvar22__empirical__w1000_r5": 1.2279,1652 "nagarch11__t__w1000_r5": 0.9218,1653 "realgarch11__normal__w1000_r5": 0.97361654 },1655 {1656 "proxy": "r2",1657 "loss": "mse",1658 "h": 22,1659 "aparch11__t__w1000_r5": 0.7753,1660 "egarch11__t__w1000_r5": 28376.5785,1661 "garch11__normal__w1000_r5": 1.0,1662 "garch11__t__w1000_r5": 1.0325,1663 "gjr11__t__w1000_r5": 0.7904,1664 "har_rv__empirical__w1000_r5": 0.9507,1665 "histvar22__empirical__w1000_r5": 1.4171,1666 "nagarch11__t__w1000_r5": 0.8389,1667 "realgarch11__normal__w1000_r5": 1.0041668 },1669 {1670 "proxy": "r2",1671 "loss": "qlike",1672 "h": 1,1673 "aparch11__t__w1000_r5": 0.9823,1674 "egarch11__t__w1000_r5": 1.0092,1675 "garch11__normal__w1000_r5": 1.0,1676 "garch11__t__w1000_r5": 0.9999,1677 "gjr11__t__w1000_r5": 0.9742,1678 "har_rv__empirical__w1000_r5": 0.9658,1679 "histvar22__empirical__w1000_r5": 1.0546,1680 "nagarch11__t__w1000_r5": 0.9788,1681 "realgarch11__normal__w1000_r5": 0.98321682 },1683 {1684 "proxy": "r2",1685 "loss": "qlike",1686 "h": 5,1687 "aparch11__t__w1000_r5": 0.9164,1688 "egarch11__t__w1000_r5": 1.1178,1689 "garch11__normal__w1000_r5": 1.0,1690 "garch11__t__w1000_r5": 1.0005,1691 "gjr11__t__w1000_r5": 0.8892,1692 "har_rv__empirical__w1000_r5": 0.9585,1693 "histvar22__empirical__w1000_r5": 1.1979,1694 "nagarch11__t__w1000_r5": 0.9029,1695 "realgarch11__normal__w1000_r5": 0.97761696 },1697 {1698 "proxy": "r2",1699 "loss": "qlike",1700 "h": 22,1701 "aparch11__t__w1000_r5": 0.7745,1702 "egarch11__t__w1000_r5": 1.2276,1703 "garch11__normal__w1000_r5": 1.0,1704 "garch11__t__w1000_r5": 1.0235,1705 "gjr11__t__w1000_r5": 0.77,1706 "har_rv__empirical__w1000_r5": 0.886,1707 "histvar22__empirical__w1000_r5": 1.2252,1708 "nagarch11__t__w1000_r5": 0.8297,1709 "realgarch11__normal__w1000_r5": 0.96631710 },1711 {1712 "proxy": "rv5ss_on",1713 "loss": "mse",1714 "h": 1,1715 "aparch11__t__w1000_r5": 0.9942,1716 "egarch11__t__w1000_r5": 16705.9068,1717 "garch11__normal__w1000_r5": 1.0,1718 "garch11__t__w1000_r5": 0.9965,1719 "gjr11__t__w1000_r5": 0.9755,1720 "har_rv__empirical__w1000_r5": 0.9583,1721 "histvar22__empirical__w1000_r5": 1.2048,1722 "nagarch11__t__w1000_r5": 0.984,1723 "realgarch11__normal__w1000_r5": 0.98571724 },1725 {1726 "proxy": "rv5ss_on",1727 "loss": "mse",1728 "h": 5,1729 "aparch11__t__w1000_r5": 0.9227,1730 "egarch11__t__w1000_r5": 43266.4373,1731 "garch11__normal__w1000_r5": 1.0,1732 "garch11__t__w1000_r5": 0.9945,1733 "gjr11__t__w1000_r5": 0.8602,1734 "har_rv__empirical__w1000_r5": 0.9377,1735 "histvar22__empirical__w1000_r5": 1.5848,1736 "nagarch11__t__w1000_r5": 0.8776,1737 "realgarch11__normal__w1000_r5": 0.96441738 },1739 {1740 "proxy": "rv5ss_on",1741 "loss": "mse",1742 "h": 22,1743 "aparch11__t__w1000_r5": 0.8406,1744 "egarch11__t__w1000_r5": 73102.7568,1745 "garch11__normal__w1000_r5": 1.0,1746 "garch11__t__w1000_r5": 1.0,1747 "gjr11__t__w1000_r5": 0.755,1748 "har_rv__empirical__w1000_r5": 0.9075,1749 "histvar22__empirical__w1000_r5": 1.7836,1750 "nagarch11__t__w1000_r5": 0.8064,1751 "realgarch11__normal__w1000_r5": 1.15051752 },1753 {1754 "proxy": "rv5ss_on",1755 "loss": "qlike",1756 "h": 1,1757 "aparch11__t__w1000_r5": 0.9615,1758 "egarch11__t__w1000_r5": 1.3215,1759 "garch11__normal__w1000_r5": 1.0,1760 "garch11__t__w1000_r5": 1.0149,1761 "gjr11__t__w1000_r5": 0.9227,1762 "har_rv__empirical__w1000_r5": 0.892,1763 "histvar22__empirical__w1000_r5": 1.4232,1764 "nagarch11__t__w1000_r5": 0.9467,1765 "realgarch11__normal__w1000_r5": 1.11361766 },1767 {1768 "proxy": "rv5ss_on",1769 "loss": "qlike",1770 "h": 5,1771 "aparch11__t__w1000_r5": 0.8611,1772 "egarch11__t__w1000_r5": 1.6503,1773 "garch11__normal__w1000_r5": 1.0,1774 "garch11__t__w1000_r5": 1.024,1775 "gjr11__t__w1000_r5": 0.7999,1776 "har_rv__empirical__w1000_r5": 0.8811,1777 "histvar22__empirical__w1000_r5": 1.7725,1778 "nagarch11__t__w1000_r5": 0.8452,1779 "realgarch11__normal__w1000_r5": 1.16571780 },1781 {1782 "proxy": "rv5ss_on",1783 "loss": "qlike",1784 "h": 22,1785 "aparch11__t__w1000_r5": 0.7401,1786 "egarch11__t__w1000_r5": 1.6893,1787 "garch11__normal__w1000_r5": 1.0,1788 "garch11__t__w1000_r5": 1.0503,1789 "gjr11__t__w1000_r5": 0.7062,1790 "har_rv__empirical__w1000_r5": 0.7838,1791 "histvar22__empirical__w1000_r5": 1.696,1792 "nagarch11__t__w1000_r5": 0.7965,1793 "realgarch11__normal__w1000_r5": 1.11161794 }1795 ],1796 "dm_vs_garch11_normal_h1_qlike": {1797 "aparch11__t__w1000_r5": {1798 "stat": -0.8238,1799 "p": 0.4104,1800 "mean_diff": -0.0079,1801 "n": 536,1802 "bandwidth": 51803 },1804 "egarch11__t__w1000_r5": {1805 "stat": 1.0951,1806 "p": 0.274,1807 "mean_diff": 0.0659,1808 "n": 536,1809 "bandwidth": 51810 },1811 "garch11__t__w1000_r5": {1812 "stat": 0.9872,1813 "p": 0.324,1814 "mean_diff": 0.0031,1815 "n": 536,1816 "bandwidth": 51817 },1818 "gjr11__t__w1000_r5": {1819 "stat": -1.7232,1820 "p": 0.0854,1821 "mean_diff": -0.0158,1822 "n": 536,1823 "bandwidth": 51824 },1825 "har_rv__empirical__w1000_r5": {1826 "stat": -1.4121,1827 "p": 0.1585,1828 "mean_diff": -0.0221,1829 "n": 536,1830 "bandwidth": 51831 },1832 "histvar22__empirical__w1000_r5": {1833 "stat": 5.0503,1834 "p": 0.0,1835 "mean_diff": 0.0868,1836 "n": 536,1837 "bandwidth": 51838 },1839 "nagarch11__t__w1000_r5": {1840 "stat": -1.2488,1841 "p": 0.2123,1842 "mean_diff": -0.0109,1843 "n": 536,1844 "bandwidth": 51845 },1846 "realgarch11__normal__w1000_r5": {1847 "stat": 1.416,1848 "p": 0.1574,1849 "mean_diff": 0.0233,1850 "n": 536,1851 "bandwidth": 51852 }1853 },1854 "leakage_check_passed": true,1855 "timing": {1856 "mean": {1857 "aparch11__t__w1000_r5": 0.0434,1858 "egarch11__t__w1000_r5": 0.0116,1859 "garch11__normal__w1000_r5": 0.0049,1860 "garch11__t__w1000_r5": 0.0073,1861 "gjr11__t__w1000_r5": 0.0103,1862 "har_rv__empirical__w1000_r5": 0.0008,1863 "histvar22__empirical__w1000_r5": 0.0,1864 "nagarch11__t__w1000_r5": 0.0203,1865 "realgarch11__normal__w1000_r5": 0.0271866 },1867 "median": {1868 "aparch11__t__w1000_r5": 0.0405,1869 "egarch11__t__w1000_r5": 0.009,1870 "garch11__normal__w1000_r5": 0.0048,1871 "garch11__t__w1000_r5": 0.0072,1872 "gjr11__t__w1000_r5": 0.0099,1873 "har_rv__empirical__w1000_r5": 0.0008,1874 "histvar22__empirical__w1000_r5": 0.0,1875 "nagarch11__t__w1000_r5": 0.0206,1876 "realgarch11__normal__w1000_r5": 0.02691877 },1878 "max": {1879 "aparch11__t__w1000_r5": 0.0686,1880 "egarch11__t__w1000_r5": 0.0986,1881 "garch11__normal__w1000_r5": 0.0081,1882 "garch11__t__w1000_r5": 0.0095,1883 "gjr11__t__w1000_r5": 0.0226,1884 "har_rv__empirical__w1000_r5": 0.0011,1885 "histvar22__empirical__w1000_r5": 0.0,1886 "nagarch11__t__w1000_r5": 0.0292,1887 "realgarch11__normal__w1000_r5": 0.03541888 }1889 }1890 }1891}