Notes: This table shows the mean of log scores, defined in (10), based on daily, weekly, and biweekly ahead predictions of the covariance matrix, 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 I (FR) distribution. More specifically, we show the average value of $Stls(H)=∑h=1H log pt+h(Xt+h|Vt+h,Ft+h−1)$ with H = 1, 5, and 10, respectively. Parameters are estimated with a moving window of 1,000 observations and re-estimated after 250 observations. Panel A shows results of dimension 5, and Panel B lists results of dimension 15. The highest value of the log score across the models is 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 3696 observations.