Joint VaR-ES forecasting on US Equity Returns All stocks (out-of-sample)
3.2793Average Loss (Out-of-Sample)ReSGA
Evaluation results
| Method | Links | |
|---|---|---|
| ReSGAModel category=Spatial-temporal models2026.06 | 3.2793 | |
| SGAModel category=Spatial-temporal models2026.06 | 3.2868 | |
| InformerModel category=Temporal models2026.06 | 3.2985 | |
| GRUModel category=Temporal models2026.06 | 3.3022 | |
| LSTMModel category=Temporal models2026.06 | 3.3063 | |
| DInformerModel category=Temporal models2026.06 | 3.3134 | |
| DLinearModel category=Temporal models2026.06 | 3.3166 | |
| EInformerModel category=Temporal models2026.06 | 3.3276 | |
| NNModel category=Point-wise models2026.06 | 3.3322 | |
| LANNModel category=Temporal models2026.06 | 3.344 | |
| LinearModel category=Point-wise models2026.06 | 3.3442 | |
| GASModel category=Econometric models2026.06 | 4.3461 | |
| GARCHModel category=Econometric models2026.06 | 4.7122 |