Time Series Reconstruction on Rough Volatility high-frequency synthetic (test)
0.5Discriminative ScoreTimeGAN (R)
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| TimeGAN (R)mode=reconstruction2023.05 | 0.5 | 0.059 | 3.308 | |
| PCF-GAN(R)mode=reconstruction2023.05 | 0.282 | 0.0398 | 0.096 |