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1======================================================================2RQ2: IV SURFACE vs HAR-RV FOR RV FORECASTING3======================================================================45--- IN-SAMPLE PANEL REGRESSIONS (common sample) ---6 1-Day RV | RV + r2 (ARCH proxy) : R²=0.3603 N=119,0937 1-Day RV | HAR-RV : R²=0.4154 N=119,0938 1-Day RV | IV only : R²=0.3549 N=119,0939 1-Day RV | IV surface : R²=0.3611 N=119,09310 1-Day RV | HAR-RV + IV surface : R²=0.4566 N=119,09311 5-Day RV | RV + r2 (ARCH proxy) : R²=0.3170 N=119,09312 5-Day RV | HAR-RV : R²=0.4211 N=119,09313 5-Day RV | IV only : R²=0.4626 N=119,09314 5-Day RV | IV surface : R²=0.4655 N=119,09315 5-Day RV | HAR-RV + IV surface : R²=0.5150 N=119,0931617--- OUT-OF-SAMPLE ROLLING EVALUATION (500/250) ---1819 1-Day RV: medians across tickers20 mse mae r2_oos qlike21model 22HAR-RV 0.0 0.00020 0.24067 0.2958723HAR-RV + IV surface 0.0 0.00020 0.30930 0.3410124IV only 0.0 0.00022 0.22729 0.3537625IV surface 0.0 0.00024 0.20449 0.4081826RV + r2 (ARCH proxy) 0.0 0.00021 0.21160 0.3075427 DM (HAR+IV vs HAR), 30 tickers: median MSE ratio=0.967, #DM_mse>1.96=14, #DM_mse<-1.96=0; median QLIKE ratio=1.171, #DM_ql>1.96=0, #DM_ql<-1.96=152829 5-Day RV: medians across tickers30 mse mae r2_oos qlike31model 32HAR-RV 0.0 0.00096 0.20368 0.2466533HAR-RV + IV surface 0.0 0.00097 0.26416 0.2463634IV only 0.0 0.00099 0.27648 0.2201535IV surface 0.0 0.00100 0.23515 0.2479736RV + r2 (ARCH proxy) 0.0 0.00102 0.12825 0.2622337 DM (HAR+IV vs HAR), 30 tickers: median MSE ratio=0.941, #DM_mse>1.96=8, #DM_mse<-1.96=1; median QLIKE ratio=1.001, #DM_ql>1.96=6, #DM_ql<-1.96=53839RQ2 COMPLETE.40real 1,6441user 1,5742sys 0,2743