Models | h = 1 | h = 5 | h = 10 | h = 22 |
|---|
Static | 2.839 | 3.100 | 3.176 | 3.234 |
HAR-RV | 3.502 | 3.719 | 3.756 | 3.783 |
HAR-CJ | 3.487 | 3.702 | 3.741 | 3.764 |
Mean | 3.504 | 3.719 | 3.755 | 3.776 |
MoJ | 3.505 | 3.749 | 3.783 | 3.799 |
- This table provides the portfolio performance evaluated by the average realized utility (in percentage). In this portfolio exercise, we assume that a mean–variance investor will allocate her portfolio between WTI futures and risk-free bills by using different RV forecasts, which is based on a constant Sharpe ratio of 0.4 and a risk aversion coefficient of 2. The static model simply takes the rolling sample average of in-sample RVs as the RV forecast. The mean combination uses the equally weighted average (that is, simple mean) of the individual HAR-RV and HAR-CJ forecasts, while our MoJ strategy switches between the HAR-RV and HAR-CJ forecasts based on their relatively past forecasting performance. The past forecasting performance is evaluated by a 5-day look-back period
