Joint VaR-ES forecasting on US Equity Returns Large stocks (out-of-sample)
3.0417Average Loss (ℓoos)ReSGA
Evaluation results
| Method | Links | |
|---|---|---|
| ReSGAModel category=Spatial-temporal models2026.06 | 3.0417 | |
| SGAModel category=Spatial-temporal models2026.06 | 3.0527 | |
| InformerModel category=Temporal models2026.06 | 3.0532 | |
| DInformerModel category=Temporal models2026.06 | 3.0578 | |
| GRUModel category=Temporal models2026.06 | 3.0601 | |
| LSTMModel category=Temporal models2026.06 | 3.067 | |
| DLinearModel category=Temporal models2026.06 | 3.0703 | |
| EInformerModel category=Temporal models2026.06 | 3.0732 | |
| LinearModel category=Point-wise models2026.06 | 3.0908 | |
| LANNModel category=Temporal models2026.06 | 3.0944 | |
| NNModel category=Point-wise models2026.06 | 3.0958 | |
| GASModel category=Econometric models2026.06 | 3.1899 | |
| GARCHModel category=Econometric models2026.06 | 3.2377 |