Benchmark/rival model | h = 1 | h = 2 | h = 4 |
---|---|---|---|
HAR-RV vs. HAR-RV-weak/q = 0.95 | 0.0012 | 0.0020 | 0.0027 |
HAR-RV vs. HAR-RV-weak/q = 0.75 | 0.0002 | 0.0000 | 0.0000 |
HAR-RV vs. HAR-RV-weak/q = 0.5 | 0.0001 | 0.0001 | 0.0000 |
HAR-RV vs. HAR-RV-weak/q = 0.25 | 0.0000 | 0.0005 | 0.0010 |
HAR-RV vs. HAR-RV-weak/q = 0.05 | 0.0054 | 0.0017 | 0.0020 |
HAR-RV vs. HAR-RV-states/q = 0.95 | 0.0052 | 0.1146 | 0.1841 |
HAR-RV vs. HAR-RV-states/q = 0.75 | 0.0093 | 0.0706 | 0.1131 |
HAR-RV vs. HAR-RV-states/q = 0.5 | 0.0234 | 0.0554 | 0.0956 |
HAR-RV vs. HAR-RV-states/q = 0.25 | 0.0105 | 0.0527 | 0.0954 |
HAR-RV vs. HAR-RV-states/q = 0.05 | 0.0311 | 0.0463 | 0.1014 |
HAR-RV-weak vs. HAR-RV-states/q = 0.95 | 0.0040 | 0.1129 | 0.1819 |
HAR-RV-weak vs. HAR-RV-states/q = 0.75 | 0.0091 | 0.0706 | 0.1131 |
HAR-RV-weak vs. HAR-RV-states/q = 0.5 | 0.0233 | 0.0553 | 0.0955 |
HAR-RV-weak vs. HAR-RV-states/q = 0.25 | 0.0105 | 0.0523 | 0.0945 |
HAR-RV-weak vs. HAR-RV-states/q = 0.05 | 0.0259 | 0.0447 | 0.0996 |