Expected Shortfall (ES) Validity Assessment on US Equity Data (test)
88.84Pass Rate (alpha=0.01)GAS
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| GASModel Category=Econometric Models2026.06 | 88.84 | 82.81 | 78.03 | |
| EInformerModel Category=Temporal Models2026.06 | 88.75 | 82.27 | 77.13 | |
| ReSGAModel Category=Spatial-temporal Models2026.06 | 88.63 | 82.86 | 79.17 | |
| SGAModel Category=Spatial-temporal Models2026.06 | 87.63 | 80.48 | 75.56 | |
| InformerModel Category=Temporal Models2026.06 | 87.12 | 81.02 | 76.91 | |
| DInformerModel Category=Temporal Models2026.06 | 86.81 | 80.42 | 76.41 | |
| DLinearModel Category=Temporal Models2026.06 | 85.28 | 78.07 | 73.18 | |
| GRUModel Category=Temporal Models2026.06 | 83.93 | 77.66 | 72.56 | |
| LSTMModel Category=Temporal Models2026.06 | 83.65 | 76.82 | 71.9 | |
| GARCHModel Category=Econometric Models2026.06 | 79.72 | 71.99 | 66.86 | |
| LinearModel Category=Point-wise Models2026.06 | 78.9 | 70.13 | 64.73 | |
| NNModel Category=Point-wise Models2026.06 | 67.92 | 60.04 | 54.75 | |
| LANNModel Category=Temporal Models2026.06 | 56.14 | 49.59 | 44.89 |