Financial Risk Estimation on S&P 500 1984-06-01 to 2025-08-20 (test)
3.922VaR-ES ScoreSimple–Linear
Evaluation Results
| Method | Links | ||
|---|---|---|---|
| Simple–LinearObjective=Fixed-policy, alpha=5%2026.03 | 3.922 | 2.1 | |
| Encoder–LinearObjective=Fixed-policy, alpha=5%2026.03 | 3.92 | 2.5 | |
| DCC–GARCHObjective=Fixed-policy, alpha=5%2026.03 | 3.774 | 14.8 | |
| UnconditionalObjective=Fixed-policy, alpha=5%2026.03 | 3.765 | 1.2 | |
| DirectObjective=Fixed-policy, alpha=5%2026.03 | 3.76 | 1.5 | |
| Encoder–LSTMObjective=Fixed-policy, alpha=5%2026.03 | -3.929 | 6.6 |