Joint VaR-ES forecasting on US Equity Returns Mega stocks (out-of-sample)
2.8081Average Loss (OOS)ReSGA
Evaluation results
| Method | Links | |
|---|---|---|
| ReSGAModel category=Spatial-temporal models2026.06 | 2.8081 | |
| SGAModel category=Spatial-temporal models2026.06 | 2.8215 | |
| InformerModel category=Temporal models2026.06 | 2.8217 | |
| DInformerModel category=Temporal models2026.06 | 2.8258 | |
| GRUModel category=Temporal models2026.06 | 2.8326 | |
| LSTMModel category=Temporal models2026.06 | 2.8368 | |
| DLinearModel category=Temporal models2026.06 | 2.8385 | |
| EInformerModel category=Temporal models2026.06 | 2.8387 | |
| LinearModel category=Point-wise models2026.06 | 2.8431 | |
| NNModel category=Point-wise models2026.06 | 2.877 | |
| LANNModel category=Temporal models2026.06 | 2.8797 | |
| GARCHModel category=Econometric models2026.06 | 2.9189 | |
| GASModel category=Econometric models2026.06 | 3.0214 |