Table 3.

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

	QLIKE	MSE	$R_{OOS}^2$ (%)	MSFE-adjusted
Panel A: January 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 B: February 2020
HAR-RV	0.163	0.292
HAR-USRV-VIX	0.804	0.556	30.145 *	1.629
HAR-USRV-IDEMV	0.804	0.556	28.802 **	1.750
HAR-ALL	1.000	1.000	31.694 **	1.659
Panel C: March 2020
HAR-RV	0.084	0.030
HAR-USRV-VIX	0.084	0.030	11.130 **	1.749
HAR-USRV-IDEMV	0.473	0.347	14.690 ***	2.362
HAR-ALL	1.000	1.000	16.769 ***	2.318