Table 2.

Predicted performance for the FCHI in January, February and March 2020.

	QLIKE	MSE	$R_{OOS}^2$ (%)	MSFE-adjusted
Panel A: January 2020
HAR-RV	0.798	0.509
HAR-USRV-VIX	0.954	0.873	11.999 **	1.870
HAR-USRV-IDEMV	0.954	0.873	10.600 *	1.614
HAR-ALL	1.000	1.000	15.082 **	2.143
Panel B: February 2020
HAR-RV	0.174	0.237
HAR-USRV-VIX	0.924	0.308	52.841 **	1.773
HAR-USRV-IDEMV	0.572	0.265	48.987 *	1.615
HAR-ALL	1.000	1.000	65.990 **	1.702
Panel C: March 2020
HAR-RV	0.004	0.009
HAR-USRV-VIX	0.004	0.009	28.273 **	2.169
HAR-USRV-IDEMV	0.004	0.009	38.681 ***	2.943
HAR-ALL	1.000	1.000	57.880 ***	3.094