Table 1.

Out-of-sample forecasting performance during whole out-of-sample periods and global pandemic.

	During whole out-of-sample periods				During the global pandemic (COVID-19)
	QLIKE	MSE	$R_{OOS}^2$ (%)	MSFE-adjusted	QLIKE	MSE	$R_{OOS}^2$ (%)	MSFE-adjusted
Panel A: FCHI
HAR-RV	0.001	0.001			0.168	0.120
HAR-USRV-VIX	1.000	1.000	12.289 ***	8.841	1.000	0.586	25.714 ***	2.310
HAR-USRV-IDEMV	0.001	0.001	−4.183 ***	4.500	0.116	0.004	3.466 ***	2.450
HAR-ALL	0.001	0.106	7.947 ***	8.083	0.168	1.000	35.312 ***	2.847
Panel B: FTSE
HAR-RV	0.000	0.036			0.077	0.114
HAR-USRV-VIX	1.000	1.000	9.227 ***	7.484	0.451	0.132	11.563 **	2.191
HAR-USRV-IDEMV	0.006	0.036	−0.536 ***	6.201	0.735	0.289	14.414 ***	2.650
HAR-ALL	0.000	0.036	5.232 ***	8.437	1.000	1.000	16.466 ***	2.680
Panel C: GDAXI
HAR-RV	0.001	0.011			0.057	0.062
HAR-USRV-VIX	1.000	1.000	8.000 ***	9.205	1.000	1.000	39.006 ***	2.574
HAR-USRV-IDEMV	0.001	0.011	−12.090	0.951	0.057	0.062	−230.372	−2.460
HAR-ALL	0.001	0.011	−8.392 ***	5.228	0.057	0.062	−253.900	−2.357

Notes: The significance level of MCS we choose is 10%. *, **, and *** indicate significant at the 10%, 5%, and 1% levels, respectively. The following table is also consistent.