Joint VaR-ES forecasting on US Equity Returns Micro stocks (out-of-sample)
3.4036Average Loss (OOS)ReSGA
Evaluation results
| Method | Links | |
|---|---|---|
| ReSGAModel category=Spatial-temporal models2026.06 | 3.4036 | |
| SGAModel category=Spatial-temporal models2026.06 | 3.4118 | |
| InformerModel category=Temporal models2026.06 | 3.4334 | |
| GRUModel category=Temporal models2026.06 | 3.4357 | |
| LSTMModel category=Temporal models2026.06 | 3.4368 | |
| NNModel category=Point-wise models2026.06 | 3.438 | |
| DLinearModel category=Temporal models2026.06 | 3.4508 | |
| DInformerModel category=Temporal models2026.06 | 3.4535 | |
| LinearModel category=Point-wise models2026.06 | 3.4642 | |
| EInformerModel category=Temporal models2026.06 | 3.4648 | |
| LANNModel category=Temporal models2026.06 | 3.4679 | |
| GASModel category=Econometric models2026.06 | 5.5837 | |
| GARCHModel category=Econometric models2026.06 | 6.6247 |