Table 5. Short-Horizon Forecast Regression Slopes Average log absolute return
Average log range Realized standard deviation
Realized variance 1τ
1
τ
1
τ
=1
ln|R
t+
τ
| 1τ
1
τ
1
τ
=1
D
t+
τ
1τ
1
τ
1
τ
=1
R
2 t+
τ 1
τ
1
τ
1
τ
=1
R
2 t+
τ
τ
1
=
1 τ
1
=
5 τ
1
=
22 τ
1
=
1 τ
1
=
5 τ
1
=
22 τ
1
=
1 τ
1
=
5 τ
1
=
22 τ
1
=
1 τ
1
=
5 τ
1
=
22
EGARCH1 .99
.97 1.02
.92 .90
.88 .69
.84 .94
.46 .64
.94 .25
.43 .17
3.29 2.40
1.36 6.12
2.91 .58
8.23 4.46
.33 EGARCH1,
.99 .98
.94 .94
.92 .81
.61 .66
.47 .43
.30 .11
symmetric .16
.25 .57
2.41 2.04
2.22 6.57
3.09 3.19
8.50 12.82
16.59
EGARCH2 1.01
1.02 1.02
.92 .93
.89 .71
.80 .78
.67 .51
.47
.14 .25
.25 3.88
1.96 1.60
4.68 2.66
1.62 2.09
5.70 2.69
EGARCH2, .97
.97 .95
.92 .90
.82 .64
.72 .68
.50 .38
.41
symmetric .52
.48 .49
3.40 2.55
2.33 8.25
3.58 2.80
8.31 9.70
3.90
EGARCH2, 1.01
1.02 1.03
.93 .93
.89 .73
.89 .87
.55 .91
.74 part symmetric
.16 .27
.33 3.26
1.78 1.39
7.07 1.85
1.24 5.22
1.01 1.38
FIEGARCH .95
.96 .97
.88 .87
.84 .67
.85 .86
.46 .90
.81 1.04
.73 .34
5.87 3.30
2.36 9.82
2.68 1.91
8.67 .96
1.36 FIEGARCH
.99 .99
1.01 .93
.92 .87
.66 .82
.83 .48
.64 .74
symmetric .20
.13 .08
3.02 2.27
1.97 7.33
3.89 2.15
7.27 4.67
1.79 REGARCH1
1.07 1.07
1.13 1.00
.99 .99
1.09 1.23
1.25 2.10
1.77 1.48
1.48 1.44
1.63 .13
.39 .15
1.31 4.16
2.29 2.73
4.29 1.46
REGARCH1, 1.07
1.09 1.11
1.01 1.01
.99 1.06
1.23 1.17
1.94 1.74
1.28 symmetric
1.47 1.79
1.60 .52
.45 .29
.96 3.91
1.52 2.72
4.20 .94
REGARCH2 1.07
1.09 1.12
1.00 1.00
.99 1.08
1.22 1.20
2.13 1.77
1.45
1.70 1.74
1.73 .26
.14 .33
1.22 3.73
2.48 2.74
4.06 2.32
REGARCH2, 1.06
1.08 1.09
.99 .99
.96 1.06
1.23 1.19
1.99 1.78
1.45
symmetric 1.23
1.57 1.33
.26 .27
.94 .89
3.69 2.27
2.79 4.14
2.08
REGARCH2, 1.08
1.10 1.12
1.01 1.01
1.00 1.11
1.26 1.21
2.23 1.88
1.46
part symmetric 1.80
1.78 1.65
.66 .53
.10 1.47
3.69 2.16
2.73 3.84
2.03
FIREGARCH 1.02
1.03 1.03
.95 .94
.89 1.03
1.17 1.11
2.04 1.74
1.38
.57 .61
.42 2.92
2.39 2.69
.50 2.47
1.69 2.65
3.00 2.60
