1. As the only difference between the TMV and LAMV is that the latter is enhanced with liquidity adjustment, we can conclude that its superior performance is a sole outcome of incorporating treatments of liquidity risk. In summary, based on the portfolio performance, the daily regular minute-level (intraday) covariance 𝛴 ( V "" on day t without any liquidity information is less effective as a measure of portfolio covariance than the covariance matrix of 𝑟 "" 's over the rolling window ? B ( V . On the other hand, the daily liquidity-adjusted minute-level (intraday) covariance 𝛴 ( V ? "" on day t with the information on extremely high and sticky liquidity incorporated is no less effective as a measure of portfolio covariance than the covariance matrix of 𝑟;For the ARMA-GARCH/EGARCH-enhanced portfolios
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