Financial Risk Estimation on S&P 500 1984-06-01 to 2025-08-20 (val)
-3.95VaR-ES ScoreEncoder–LSTM
Evaluation Results
| Method | Links | |
|---|---|---|
| Encoder–LSTMObjective=Fixed-policy2026.03 | -3.95 | |
| DirectObjective=Fixed-policy2026.03 | 3.744 | |
| DCC–GARCHObjective=Fixed-policy2026.03 | 3.754 | |
| UnconditionalObjective=Fixed-policy2026.03 | 3.806 | |
| Encoder–LinearObjective=Fixed-policy2026.03 | 3.922 | |
| Simple–LinearObjective=Fixed-policy2026.03 | 3.922 |