spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Per-ticker Diebold--Mariano tests: HAR-RV $+$ IV surface versus HAR-RV.}4\label{tab:app_dm}5\begin{threeparttable}6\scriptsize7\begin{tabular}{@{}lrrrrrrrrr@{}}8\toprule9& & \multicolumn{4}{c}{$RV_{t+1}$} & \multicolumn{4}{c}{$\sum_{j=1}^{5} RV_{t+j}$} \\10\cmidrule(lr){3-6}\cmidrule(lr){7-10}11Ticker & $T$ & MSE ratio & DM & QLIKE ratio & DM & MSE ratio & DM & QLIKE ratio & DM \\12\midrule13AAPL & 2{,}052 & 0.985 & 0.39 & 1.326 & $-$2.34 & 0.920 & 1.35 & 0.866 & 2.10 \\14ADBE & 885 & 0.980 & 0.68 & 1.738 & $-$5.50 & 0.997 & 0.04 & 1.330 & $-$2.40 \\15AMD & 865 & 0.943 & 2.56 & 1.110 & $-$1.40 & 0.843 & 3.35 & 0.916 & 0.79 \\16AMZN & 1{,}667 & 0.946 & 2.02 & 1.022 & $-$0.23 & 0.836 & 2.66 & 0.926 & 0.45 \\17BA & 1{,}500 & 0.824 & 4.77 & 1.082 & $-$1.32 & 0.969 & 0.26 & 0.902 & 1.03 \\18BAC & 1{,}623 & 1.037 & $-$0.73 & 1.340 & $-$3.89 & 1.117 & $-$1.00 & 1.421 & $-$2.90 \\19CAT & 1{,}419 & 0.877 & 2.96 & 1.043 & $-$0.57 & 0.957 & 0.82 & 0.928 & 1.10 \\20COST & 714 & 0.882 & 2.17 & 1.035 & $-$0.67 & 0.976 & 0.40 & 1.001 & $-$0.01 \\21CRM & 1{,}500 & 1.004 & $-$0.15 & 1.159 & $-$2.30 & 0.900 & 1.60 & 0.842 & 2.01 \\22CSCO & 1{,}410 & 0.998 & 0.09 & 1.250 & $-$3.71 & 0.989 & 0.30 & 1.018 & $-$0.21 \\23CVX & 1{,}175 & 0.977 & 0.77 & 1.273 & $-$1.43 & 0.968 & 0.90 & 1.144 & $-$0.90 \\24DIA & 1{,}922 & 1.018 & $-$0.32 & 1.405 & $-$4.66 & 1.220 & $-$1.69 & 1.773 & $-$2.76 \\25DIS & 1{,}433 & 0.949 & 2.55 & 1.277 & $-$1.55 & 0.870 & 3.85 & 0.841 & 2.53 \\26GLD & 2{,}425 & 0.860 & 5.26 & 0.970 & 0.59 & 0.859 & 3.29 & 1.001 & $-$0.00 \\27GOOG & 1{,}618 & 0.937 & 3.20 & 1.183 & $-$2.13 & 0.799 & 3.29 & 1.097 & $-$0.43 \\28GS & 1{,}120 & 1.061 & $-$1.06 & 0.956 & 0.95 & 1.006 & $-$0.10 & 0.918 & 1.27 \\29HD & 1{,}408 & 1.046 & $-$1.02 & 1.107 & $-$2.09 & 1.037 & $-$0.38 & 0.947 & 0.68 \\30HON & 371 & 0.833 & 2.91 & 1.347 & $-$2.80 & 0.754 & 2.19 & 1.126 & $-$0.89 \\31INTC & 1{,}673 & 1.034 & $-$1.22 & 1.033 & $-$0.59 & 0.882 & 1.69 & 0.721 & 4.23 \\32IWM & 2{,}482 & 0.962 & 1.37 & 1.406 & $-$2.73 & 1.313 & $-$2.99 & 2.176 & $-$4.29 \\33JPM & 1{,}680 & 0.792 & 4.25 & 1.195 & $-$1.29 & 0.791 & 2.79 & 1.002 & $-$0.02 \\34KO & 1{,}222 & 0.826 & 3.84 & 0.985 & 0.23 & 0.981 & 0.47 & 1.248 & $-$1.31 \\35LLY & 1{,}216 & 0.986 & 0.50 & 1.092 & $-$1.48 & 0.874 & 1.52 & 0.754 & 2.22 \\36LMT & 424 & 0.909 & 2.37 & 2.145 & $-$2.23 & 0.917 & 1.43 & 1.917 & $-$1.83 \\37LOW & 626 & 0.826 & 2.67 & 1.089 & $-$0.96 & 1.046 & $-$0.37 & 1.581 & $-$4.20 \\38MA & 975 & 1.028 & $-$0.60 & 1.305 & $-$2.23 & 0.889 & 1.73 & 1.273 & $-$0.96 \\39MCD & 1{,}128 & 0.850 & 3.35 & 1.242 & $-$2.56 & 0.847 & 2.49 & 0.883 & 1.02 \\40MRK & 1{,}398 & 1.045 & $-$1.55 & 1.277 & $-$2.82 & 0.977 & 0.26 & 1.024 & $-$0.32 \\41MSFT & 1{,}867 & 0.974 & 1.10 & 1.075 & $-$0.98 & 0.925 & 1.75 & 0.873 & 2.26 \\42NVDA & 1{,}421 & 0.971 & 0.98 & 1.151 & $-$2.75 & 0.960 & 0.81 & 0.955 & 0.58 \\43\bottomrule44\end{tabular}45\begin{tablenotes}[flushleft]\footnotesize46\item \textit{Notes.} Ratios are losses of HAR-RV $+$ IV surface over HAR-RV (values below one favour the IV-augmented model); DM statistics are positive when the IV-augmented model has the lower loss. $T$ is the number of out-of-sample forecasts. Rolling scheme as in Table~\ref{tab:rq2_oos}.47\end{tablenotes}48\end{threeparttable}49\end{table}50