In sample fitting with simplified realized variance.

This table presents the oil futures volatility in-sample fitting 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 most subsample tests except year 2005 compared with TGARCH. Where en = *10n, e.g. e − 02 = *10−2.