Value at Risk (VaR) prediction on Japan stock market
89.97Pass RateReSGA
Evaluation results
| Method | Links | |
|---|---|---|
| ReSGAModel Category=Spatial-temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 89.97 | |
| GRUModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 87.35 | |
| LSTMModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 85.22 | |
| InformerModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 77.46 | |
| LANNModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 75.44 | |
| EInformerModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 73.34 | |
| DLinearModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 71.68 | |
| DInformerModel Category=Temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 70.27 | |
| SGAModel Category=Spatial-temporal Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 69.26 | |
| NNModel Category=Point-wise Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 67.98 | |
| LinearModel Category=Point-wise Models, Significance level (alpha)=0.05, Statistical Test=CC2026.06 | 61.4 |