Out of sample forecasting with simplified realized variance.

This table presents the oil futures volatility out-of-sample forecasting results of Liquidity-adjusted GARCH (LGARCH) with other three GARCH models against the simplified realized variance using the Mean Squared Error (MSE). The p-values for statistical differences of the forecasting errors are also presented. The LGARCH model outweighs all other three models in both full sample and all subsample tests. Where en = *10n, e.g. e − 02 = *10−2.