Table 4.

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

	QLIKE	MSE	$R_{OOS}^2$ (%)	MSFE-adjusted
Panel A: January 2020
HAR-RV	0.634	0.501
HAR-USRV-VIX	1.000	1.000	15.513 **	1.958
HAR-USRV-IDEMV	0.830	0.776	7.319 *	1.369
HAR-ALL	0.830	0.809	11.949 *	1.585
Panel B: February 2020
HAR-RV	0.079	0.101
HAR-USRV-VIX	1.000	1.000	47.289 **	1.663
HAR-USRV-IDEMV	0.069	0.096	−102.627	−1.900
HAR-ALL	0.047	0.096	−76.341	−1.763
Panel C: March 2020
HAR-RV	0.026	0.022
HAR-USRV-VIX	1.000	1.000	37.420 **	2.297
HAR-USRV-IDEMV	0.026	0.001	−274.850	−2.702
HAR-ALL	0.005	0.000	−313.536	−2.693