Time-series forecasting on S&P 500 monthly log-returns (h=6)
4.26CRPS Skill ScoreN-BEATS (deep)
Evaluation results
| Method | Links | |
|---|---|---|
| N-BEATS (deep)Head=GMM2026.06 | 4.26 | |
| TimesNet (deep)Head=GMM2026.06 | 3.73 | |
| iTransformer (deep)Head=GMM2026.06 | 3.18 | |
| DLinear (deep)Head=GMM2026.06 | 1.81 | |
| ARIMAHead=gmm2026.06 | -40.5 | |
| ARIMAgmmHead=GMM2026.06 | -40.5 | |
| ARIMAHead=point2026.06 | -40.7 | |
| ARIMAHead=gauss2026.06 | -42 | |
| GARCH(1,1)Head=point2026.06 | -42.9 | |
| GARCH(1,1)Head=gauss2026.06 | -48.4 | |
| GARCH(1,1)Head=gmm2026.06 | -50.5 | |
| GARCH(1,1)gmmHead=GMM2026.06 | -50.52 |