Time-series forecasting on S&P 500 monthly log-returns h=12
-36.6CRPS Skill ScoreARIMA
Evaluation results
| Method | Links | |
|---|---|---|
| ARIMAHead=gauss2026.06 | -36.6 | |
| ARIMAHead=point2026.06 | -38.5 | |
| GARCH(1,1)Head=gauss2026.06 | -38.6 | |
| GARCH(1,1)Head=gmm2026.06 | -39 | |
| GARCH(1,1)Head=point2026.06 | -39.5 | |
| ARIMAHead=gmm2026.06 | -45.7 |