Time-series forecasting on S&P 500 monthly log-returns (h=3)
16.7CRPS Skill ScoreGARCH(1,1)
Evaluation results
| Method | Links | |
|---|---|---|
| GARCH(1,1)Head=gauss2026.06 | 16.7 | |
| GARCH(1,1)Head=point2026.06 | 16 | |
| GARCH(1,1)Head=gmm2026.06 | 10.3 | |
| ARIMAHead=gauss2026.06 | 8.6 | |
| ARIMAHead=point2026.06 | 6.8 | |
| ARIMAHead=gmm2026.06 | 0.3 | |
| GARCH(1,1)gmmHead=GMM2026.06 | 0.1033 | |
| N-BEATS (deep)Head=GMM2026.06 | 0.0461 | |
| TimesNet (deep)Head=GMM2026.06 | 0.041 | |
| iTransformer (deep)Head=GMM2026.06 | 0.0294 | |
| DLinear (deep)Head=GMM2026.06 | 0.0207 | |
| ARIMAgmmHead=GMM2026.06 | 0.0026 |