Joint VaR-ES forecasting on US Equity Returns Small stocks (out-of-sample)
3.2635Average Loss (Out-of-Sample)ReSGA
Evaluation results
| Method | Links | |
|---|---|---|
| ReSGAModel category=Spatial-temporal models2026.06 | 3.2635 | |
| SGAModel category=Spatial-temporal models2026.06 | 3.2647 | |
| InformerModel category=Temporal models2026.06 | 3.2779 | |
| GRUModel category=Temporal models2026.06 | 3.2807 | |
| LSTMModel category=Temporal models2026.06 | 3.2838 | |
| DLinearModel category=Temporal models2026.06 | 3.2919 | |
| DInformerModel category=Temporal models2026.06 | 3.2925 | |
| NNModel category=Point-wise models2026.06 | 3.3055 | |
| LANNModel category=Temporal models2026.06 | 3.3055 | |
| EInformerModel category=Temporal models2026.06 | 3.3148 | |
| LinearModel category=Point-wise models2026.06 | 3.3305 | |
| GASModel category=Econometric models2026.06 | 3.7713 | |
| GARCHModel category=Econometric models2026.06 | 3.8226 |