21-day Generative Forecasting on AVAR top-25 30-year S&P 500 panel (test)
2.835NLLGARCH(1,1)
Evaluation Results
| Method | Links | |
|---|---|---|
| GARCH(1,1)Conv params=02026.05 | 2.835 | |
| WaveNet (Gaussian head)Conv params=7,3602026.05 | 2.847 | |
| IID GaussianConv params=02026.05 | 2.857 | |
| WaveNet+Flow+Hurst-FiLMConv params=7,3602026.05 | 3.516 | |
| SE-WaveNet (full)Conv params=1,8402026.05 | 3.699 |