Time-series forecasting on S&P 500 monthly log-returns h=1
17CRPS Skill ScoreGARCH(1,1)
Evaluation results
| Method | Links | |
|---|---|---|
| GARCH(1,1)Head=point2026.06 | 17 | |
| GARCH(1,1)Head=gauss2026.06 | 14.6 | |
| GARCH(1,1)gmmHead=GMM2026.06 | 12.92 | |
| GARCH(1,1)Head=gmm2026.06 | 12.9 | |
| ARIMAHead=point2026.06 | 10.6 | |
| ARIMAgmmHead=GMM2026.06 | 7.51 | |
| ARIMAHead=gauss2026.06 | 7.5 | |
| ARIMAHead=gmm2026.06 | 7.5 | |
| N-BEATS (deep)Head=GMM2026.06 | 6.42 | |
| TimesNet (deep)Head=GMM2026.06 | 5.44 | |
| DLinear (deep)Head=GMM2026.06 | 3.55 | |
| iTransformer (deep)Head=GMM2026.06 | 2.57 | |
| EGARCH(1,1)-skewtHead=skew-t2026.06 | 1.38 | |
| GJR-skewtHead=skew-t2026.06 | 0.83 | |
| GARCH(1,1)-skewtHead=skew-t2026.06 | 0.34 | |
| GARCH(1,1)-gaussHead=gauss2026.06 | -0.75 | |
| CAViaRHead=direct2026.06 | -10.56 | |
| GASHead=gauss2026.06 | -343 |