Expected Shortfall (ES) prediction on Japan stock market
87.62Pass RateSGA
Evaluation results
| Method | Links | |
|---|---|---|
| SGAModel Category=Spatial-temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 87.62 | |
| GRUModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 72.61 | |
| ReSGAModel Category=Spatial-temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 70.55 | |
| LSTMModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 54.28 | |
| InformerModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 48.53 | |
| EInformerModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 41.01 | |
| DLinearModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 40.69 | |
| DInformerModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 39.21 | |
| LANNModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 24.68 | |
| NNModel Category=Point-wise Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 23.74 | |
| LinearModel Category=Point-wise Models, Significance level (alpha)=0.05, Statistical Test=AESR2026.06 | 20.88 |