Notes: This table shows the mean of the Frobenius norm and QLIK values based on daily, weekly, and biweekly predictions of the $(5×5)$ covariance matrix of 5 stocks (MCD/PFE/PG/WMT/XOM) according to the Conditional Autoregressive model with and without HAR dynamics, assuming a Wishart (W), Riesz (R), Inverse Riesz (iR), matrix-F (F), or a F-Riesz (FR) distribution. In addition, we include the EWMA, DCC-GARCH, and the HAR-DRD (HDRD) models as benchmarks. Parameters are estimated with a moving window of 1,000 observations and re-estimated after 250 observations. Panel A shows results of 1-step ahead predictions, and Panels B and C list results of cumulative forecasts for a week (five-step ahead) and two weeks (10 steps ahead). The lowest value of the Frobenius norm and QLIK across the models are marked in bold. In addition, we report the MCS p-values based on a 5% significance level. The p-values of the models within the model confidence set are marked in bold. The out-of-sample period goes from January 2005 until December 2019 and contains 3,696 observations.