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1\begin{table}[htbp]2\centering\small3\begin{threeparttable}4\caption{HAR regressions for the ``No change'' contract}5\label{tab:har_rv}6\begin{tabular}{l rr rr}7\toprule8 & \multicolumn{2}{c}{$RV_t=|r_t|$} & \multicolumn{2}{c}{$RV_t=r_t^2$} \\9\cmidrule(lr){2-3}\cmidrule(lr){4-5}10Regressor & Coef. & (SE) & Coef. & (SE) \\11\midrule12 Constant & 0.994 & (0.725) & 32.296$^{*}$ & (19.078) \\13 $RV^{(d)}_t$ & -0.058 & (0.110) & -0.075 & (0.059) \\14 $RV^{(w)}_t$ & 0.628$^{**}$ & (0.281) & 0.325 & (0.294) \\15 $RV^{(m)}_t$ & 0.132 & (0.262) & 0.074 & (0.310) \\16\midrule17$R^2$ & \multicolumn{2}{c}{0.152} & \multicolumn{2}{c}{0.021} \\18Adjusted $R^2$ & \multicolumn{2}{c}{0.131} & \multicolumn{2}{c}{-0.004} \\19Joint $F$-test $p$-value & \multicolumn{2}{c}{0.000} & \multicolumn{2}{c}{0.488} \\20Observations & \multicolumn{2}{c}{123} & \multicolumn{2}{c}{123} \\21\bottomrule22\end{tabular}23\begin{tablenotes}24\small25\item \textit{Notes:} $RV^{(d)}_{t+1}=c+\beta_d RV^{(d)}_t+\beta_w RV^{(w)}_t+\beta_m RV^{(m)}_t+\varepsilon_{t+1}$ with $RV^{(w)}_t$ and $RV^{(m)}_t$ the averages of the daily measure over the past 5 and 22 calendar days \citep{corsi2009simple}. Daily log returns in percent; listing day excluded. Newey--West (5 lags) standard errors. $^{***}$, $^{**}$, $^{*}$: 1\%, 5\%, 10\%.26\end{tablenotes}27\end{threeparttable}28\end{table}