Value at Risk (VaR) Validity Assessment on US Equity Data (test)
98.07VaR Pass Rate (alpha=0.01)SGA
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| SGAModel Category=Spatial-temporal Models2026.06 | 98.07 | 92.82 | 88.27 | |
| ReSGAModel Category=Spatial-temporal Models2026.06 | 97.86 | 92.84 | 88.33 | |
| GRUModel Category=Temporal Models2026.06 | 97.39 | 91.85 | 86.96 | |
| LSTMModel Category=Temporal Models2026.06 | 97.28 | 91.54 | 86.53 | |
| InformerModel Category=Temporal Models2026.06 | 97.04 | 90.89 | 86.04 | |
| DLinearModel Category=Temporal Models2026.06 | 96.41 | 89.95 | 84.88 | |
| EInformerModel Category=Temporal Models2026.06 | 96.23 | 89.43 | 84.24 | |
| DInformerModel Category=Temporal Models2026.06 | 96.2 | 89.7 | 84.72 | |
| NNModel Category=Point-wise Models2026.06 | 95.92 | 88.65 | 83.47 | |
| LinearModel Category=Point-wise Models2026.06 | 95.14 | 87.52 | 82.02 | |
| LANNModel Category=Temporal Models2026.06 | 95.08 | 87.17 | 82.26 | |
| GASModel Category=Econometric Models2026.06 | 93.59 | 87.71 | 82.76 | |
| GARCHModel Category=Econometric Models2026.06 | 92.42 | 84.43 | 79.77 |