Financial Risk Estimation on S&P 500 (1984-06-01 to 2025-08-20, train)
-3.932VaR-ES ScoreEncoder–LSTM
Evaluation Results
| Method | Links | |
|---|---|---|
| Encoder–LSTMObjective=Fixed-policy2026.03 | -3.932 | |
| DCC–GARCHObjective=Fixed-policy2026.03 | 3.545 | |
| DirectObjective=Fixed-policy2026.03 | 3.669 | |
| UnconditionalObjective=Fixed-policy2026.03 | 3.747 | |
| Simple–LinearObjective=Fixed-policy2026.03 | 3.887 | |
| Encoder–LinearObjective=Fixed-policy2026.03 | 3.911 |