From: A model-free approach to do long-term volatility forecasting and its variants
500 size | GE-NoVaS | GA-NoVaS | P-GA-NoVaS | GARCH-direct | EXP-GARCH |
---|---|---|---|---|---|
M8-1step | 1.03388 | 1.02927 | 0.98002 | 1.00477 | 1.00000 |
M8-5steps | 1.00765 | 1.01167 | 0.91506 | 0.98363 | 1.00000 |
M8-30steps | 1.07155 | 1.06845 | 0.92544 | 1.03187 | 1.00000 |