spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Subperiod stability.}4\label{tab:subperiod}5\begin{threeparttable}6\footnotesize7\begin{tabular}{@{}lrrrrrrr@{}}8\toprule9& \multicolumn{3}{c}{Return predictability} & \multicolumn{4}{c}{$RV_{t+1}$ forecasting} \\10\cmidrule(lr){2-4}\cmidrule(lr){5-8}11Subperiod & $N$ & 1-day $R^2$ (\%) & 5-day $R^2$ (\%) & $N$ & HAR-RV & HAR $+$ IV & $\Delta R^2$ (\%) \\12\midrule13Post-GFC (2010--12) & 8{,}565 & 0.46 & 0.79 & 8{,}566 & 0.205 & 0.250 & +22.0 \\14Bull (2013--16) & 25{,}950 & 0.46 & 2.14 & 25{,}950 & 0.236 & 0.335 & +41.7 \\15Low vol (2017--18) & 16{,}271 & 0.15 & 0.13 & 16{,}273 & 0.070 & 0.149 & +114.2 \\16Pre-COVID (2019) & 8{,}374 & 0.32 & 0.78 & 8{,}376 & 0.204 & 0.281 & +37.8 \\17COVID (2020) & 8{,}892 & 1.79 & 4.18 & 8{,}892 & 0.709 & 0.739 & +4.3 \\18Post-COVID (2021) & 9{,}734 & 0.75 & 1.06 & 9{,}737 & 0.398 & 0.436 & +9.6 \\19Rate hikes (2022) & 10{,}068 & 1.00 & 3.73 & 10{,}070 & 0.336 & 0.415 & +23.7 \\20Recovery (2023--24) & 20{,}396 & 0.57 & 1.78 & 20{,}398 & 0.268 & 0.342 & +27.5 \\21Recent (2025) & 10{,}831 & 0.70 & 1.46 & 10{,}831 & 0.340 & 0.383 & +12.7 \\22\bottomrule23\end{tabular}24\begin{tablenotes}[flushleft]\footnotesize25\item \textit{Notes.} Pooled regressions re-estimated within each subperiod (full panel). Return regressions: ten predictors, HC1, pooled winsorization. RV regressions: HAR-RV and HAR-RV $+$ IV surface estimated on the same observations (complete IV surface), per-ticker winsorization; $\Delta R^2$ is relative to HAR-RV.26\end{tablenotes}27\end{threeparttable}28\end{table}29