Option Hedging on S&P 500 options 317 longer prediction horizons
7.83Diebold-Mariano Test StatisticHSV
Evaluation Results
| Method | Links | ||
|---|---|---|---|
| HSVReference Model=ABSM2026.04 | 7.83 | — | |
| HSVJReference Model=ABSM2026.04 | 7.81 | — | |
| HSVReference Model=BSM2026.04 | 7.69 | — | |
| HSVJReference Model=BSM2026.04 | 7.67 | — | |
| NN+BndReference Model=ABSM2026.04 | 3.83 | — | |
| NN+ShapeReference Model=ABSM2026.04 | 3.72 | — | |
| NNReference Model=ABSM2026.04 | 3.68 | — | |
| NN+ShapeReference Model=BSM2026.04 | 3.52 | — | |
| NN+BndReference Model=BSM2026.04 | 3.48 | — | |
| NNReference Model=BSM2026.04 | 3.44 | — | |
| PINN+BSMReference Model=ABSM2026.04 | 3.43 | — | |
| PINN+BSMReference Model=BSM2026.04 | 3.2 | — | |
| NN+ShapeReference Model=NN+Bnd2026.04 | 2.76 | — | |
| SKINN+DSNN-NASVReference Model=ABSM, Group=SPSKR2026.04 | 2.01 | — | |
| SKINN+HSVReference Model=ABSM, Group=PSKR2026.04 | 1.78 | — | |
| SKINN+HSVJReference Model=ABSM, Group=PSKR2026.04 | 1.55 | — | |
| PINN+BSMReference Model=NN+Bnd2026.04 | 1.47 | — | |
| SKINN+DSNN-NASVReference Model=BSM, Group=SPSKR2026.04 | 1.45 | — | |
| SKINN+DSNN-HSVReference Model=ABSM, Group=SPSKR2026.04 | 1.45 | — | |
| NN+ShapeReference Model=NN2026.04 | 1.4 | — | |
| SKINN+AE-BSMReference Model=ABSM, Group=NPSKR2026.04 | 1.35 | — | |
| SKINN+MOPAReference Model=ABSM, Group=NPSKR2026.04 | 1.25 | — | |
| NN+ShapeReference Model=HSVJ2026.04 | 1.21 | — | |
| NN+ShapeReference Model=HSV2026.04 | 1.11 | — | |
| SKINN+HSVReference Model=BSM, Group=PSKR2026.04 | 0.84 | — | |
| SKINN+DSNN-HSVReference Model=BSM, Group=SPSKR2026.04 | 0.72 | — | |
| SKINN+AE-BSMReference Model=BSM, Group=NPSKR2026.04 | 0.68 | — | |
| NNReference Model=HSVJ2026.04 | 0.39 | — | |
| SKINN+HSVJReference Model=BSM, Group=PSKR2026.04 | 0.35 | — | |
| PINN+BSMReference Model=HSVJ2026.04 | 0.32 | — | |
| SKINN+MOPAReference Model=BSM, Group=NPSKR2026.04 | 0.26 | — | |
| NNReference Model=HSV2026.04 | 0.25 | — | |
| PINN+BSMReference Model=HSV2026.04 | 0.2 | — | |
| PINN+BSMReference Model=NN2026.04 | -0.05 | — | |
| NN+BndReference Model=HSVJ2026.04 | -0.99 | — | |
| NN+BndReference Model=HSV2026.04 | -1.15 | — | |
| HSVJReference Model=HSV2026.04 | -1.42 | — | |
| PINN+BSMReference Model=NN+Shape2026.04 | -1.94 | — | |
| NN+BndReference Model=NN2026.04 | -2.12 | — | |
| SKINN+DSNN-NASVReference Model=PINN+BSM, Group=SPSKR2026.04 | -2.45 | — | |
| SKINN+DSNN-NASVReference Model=NN+Bnd, Group=SPSKR2026.04 | -2.56 | — | |
| SKINN+DSNN-NASVReference Model=NN, Group=SPSKR2026.04 | -2.89 | — | |
| SKINN+DSNN-HSVReference Model=PINN+BSM, Group=SPSKR2026.04 | -2.94 | — | |
| SKINN+HSVReference Model=PINN+BSM, Group=PSKR2026.04 | -3.01 | — | |
| SKINN+DSNN-NASVReference Model=NN+Shape, Group=SPSKR2026.04 | -3.03 | — | |
| SKINN+DSNN-HSVReference Model=NN+Bnd, Group=SPSKR2026.04 | -3.14 | — | |
| SKINN+HSVJReference Model=PINN+BSM, Group=PSKR2026.04 | -3.23 | — | |
| SKINN+MOPAReference Model=PINN+BSM, Group=NPSKR2026.04 | -3.29 | — | |
| SKINN+DSNN-HSVReference Model=NN+Shape, Group=SPSKR2026.04 | -3.31 | — | |
| SKINN+AE-BSMReference Model=PINN+BSM, Group=NPSKR2026.04 | -3.34 | — | |
| SKINN+HSVReference Model=NN+Bnd, Group=PSKR2026.04 | -3.4 | — | |
| SKINN+DSNN-HSVReference Model=NN, Group=SPSKR2026.04 | -3.41 | — | |
| SKINN+HSVReference Model=NN, Group=PSKR2026.04 | -3.44 | — | |
| SKINN+HSVReference Model=NN+Shape, Group=PSKR2026.04 | -3.49 | — | |
| SKINN+MOPAReference Model=NN+Bnd, Group=NPSKR2026.04 | -3.5 | — | |
| SKINN+MOPAReference Model=NN, Group=NPSKR2026.04 | -3.58 | — | |
| SKINN+MOPAReference Model=NN+Shape, Group=NPSKR2026.04 | -3.6 | — | |
| SKINN+HSVJReference Model=NN, Group=PSKR2026.04 | -3.63 | — | |
| SKINN+BSMReference Model=ABSM, Group=PSKR2026.04 | -3.66 | — | |
| SKINN+HSVJReference Model=NN+Shape, Group=PSKR2026.04 | -3.67 | — | |
| SKINN+HSVJReference Model=NN+Bnd, Group=PSKR2026.04 | -3.71 | — | |
| SKINN+AE-BSMReference Model=NN, Group=NPSKR2026.04 | -3.83 | — | |
| SKINN+AE-BSMReference Model=NN+Shape, Group=NPSKR2026.04 | -3.88 | — | |
| SKINN+AE-BSMReference Model=NN+Bnd, Group=NPSKR2026.04 | -4.07 | — | |
| SKINN+ABSMReference Model=PINN+BSM, Group=PSKR2026.04 | -4.29 | — | |
| ABSMReference Model=BSM2026.04 | -4.3 | — | |
| SKINN+BSMReference Model=PINN+BSM, Group=PSKR2026.04 | -4.32 | — | |
| SKINN+BSMReference Model=NN+Shape, Group=PSKR2026.04 | -4.41 | — | |
| SKINN+ABSMReference Model=NN+Shape, Group=PSKR2026.04 | -4.46 | — | |
| SKINN+ABSMReference Model=NN, Group=PSKR2026.04 | -4.59 | — | |
| SKINN+BSMReference Model=NN, Group=PSKR2026.04 | -4.71 | — | |
| SKINN+ABSMReference Model=ABSM, Group=PSKR2026.04 | -4.96 | — | |
| SKINN+BSMReference Model=BSM, Group=PSKR2026.04 | -5.07 | — | |
| SKINN+BSMReference Model=NN+Bnd, Group=PSKR2026.04 | -5.07 | — | |
| SKINN+ABSMReference Model=NN+Bnd, Group=PSKR2026.04 | -5.12 | — | |
| SKINN+AE-BSMReference Model=HSVJ, Group=NPSKR2026.04 | -5.57 | — | |
| SKINN+DSNN-NASVReference Model=HSVJ, Group=SPSKR2026.04 | -5.58 | — | |
| SKINN+DSNN-NASVReference Model=HSV, Group=SPSKR2026.04 | -5.63 | — | |
| SKINN+AE-BSMReference Model=HSV, Group=NPSKR2026.04 | -5.64 | — | |
| SKINN+DSNN-HSVReference Model=HSVJ, Group=SPSKR2026.04 | -6.18 | — | |
| SKINN+ABSMReference Model=BSM, Group=PSKR2026.04 | -6.33 | — | |
| SKINN+DSNN-HSVReference Model=HSV, Group=SPSKR2026.04 | -6.37 | — | |
| SKINN+MOPAReference Model=HSVJ, Group=NPSKR2026.04 | -6.47 | — | |
| SKINN+MOPAReference Model=HSV, Group=NPSKR2026.04 | -6.69 | — | |
| SKINN+ABSMReference Model=HSVJ, Group=PSKR2026.04 | -8.03 | — | |
| SKINN+HSVJReference Model=HSVJ, Group=PSKR2026.04 | -8.07 | — | |
| SKINN+HSVJReference Model=HSV, Group=PSKR2026.04 | -8.11 | — | |
| SKINN+ABSMReference Model=HSV, Group=PSKR2026.04 | -8.12 | — | |
| SKINN+BSMReference Model=HSVJ, Group=PSKR2026.04 | -8.26 | — | |
| SKINN+BSMReference Model=HSV, Group=PSKR2026.04 | -8.32 | — | |
| SKINN+HSVReference Model=HSVJ, Group=PSKR2026.04 | -8.34 | — | |
| SKINN+HSVReference Model=HSV, Group=PSKR2026.04 | -8.42 | — |