Table 6 Forecast evaluations

Actual: logRV

 HAR(RV)-normal

0.651281*

0.524890

5.562033

0.034283*

 Break-HAR(RV)-normal

0.652070

0.521887*

5.509533

0.034394

 ​Break-HAR(RV)-GED

0.653979

0.522205

5.505789*

0.034520

 HAR(minRV)-normal

0.764127

0.603088

6.624436

0.039294

​Break-HAR(minRV)-normal

0.731901

0.578977

6.343932

0.037724

​Break-HAR(minRV)-GED

0.729189

0.574511

6.292221

0.037625

 HAR(medRV)-normal

0.746771

0.589072

6.460210

0.038443

 ​Break-HAR(medRV)-normal

0.718214

0.565700

6.187558

0.037089

​Break-HAR(medRV)-GED

0.714892

0.563258

6.158450

0.036932

Actual: logminRV

 HAR(RV)-normal

0.789156

0.644290

6.339814

0.040637

 Jump-HAR(RV)-normal

0.809646

0.662120

6.504324

0.041774

 ​Break-HAR(RV)-GED

0.818384

0.670025

6.576982

0.042256

 HAR(minRV)-normal

0.638405

0.506469

5.150216

0.032131

 ​Break-HAR(minRV)-normal

0.630824

0.492197*

4.980560*

0.031821

 ​Break-HAR(minRV)-GED

0.640285

0.508674

5.139286

0.032333

 HAR(medRV)-normal

0.630286*

0.503166

5.103593

0.031756*

 ​Break-HAR(medRV)-normal

0.637293

0.508452

5.128620

0.032208

 ​Break-HAR(medRV)-GED

0.638447

0.509171

5.132373

0.032278

Actual: logmedRV

 HAR(RV)-normal

0.765429

0.623274

6.144211

0.039449

​Break-HAR(RV)-normal

0.786059

0.641008

6.307899

0.040592

​Break-HAR(RV)-GED

0.794619

0.648410

6.375548

0.041064

 HAR(minRV)-normal

0.619110

0.494591

5.047823

0.031186

​Break-HAR(minRV)-normal

0.609756*

0.485405*

4.929134*

0.030784*

​Break-HAR(minRV)-GED

0.619592

0.496536

5.033198

0.031315

 HAR(medRV)-normal

0.611312

0.488187

4.968397

0.030826

 ​Break-HAR(medRV)-normal

0.616746

0.493640

4.994146

0.031196

 ​Break-HAR(medRV)-GED

0.617718

0.494580

5.000038

0.031256