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Papers Benchmarks Datasets Tasks

Joint VaR-ES forecasting research benchmarks · SOTA2 Research

Joint VaR-ES forecasting

Benchmarks

Dataset NameSOTA MethodSort

Dataset NameSOTA methodMetricTrendResultsLast Updated

US equity (test)

8.37DM Test Statistic

78

Jun 4, 2026

US Equity Returns Nano stocks (out-of-sample)

3.693Average Loss (ℓoos)

13

Jun 4, 2026

US Equity Returns Micro stocks (out-of-sample)

3.404Average Loss (OOS)

13

Jun 4, 2026

US Equity Returns Small stocks (out-of-sample)

3.264Average Loss (Out-of-Sample)

13

Jun 4, 2026

US Equity Returns Large stocks (out-of-sample)

3.042Average Loss (ℓoos)

13

Jun 4, 2026

US Equity Returns Mega stocks (out-of-sample)

2.808Average Loss (OOS)

13

Jun 4, 2026

US Equity Returns All stocks (out-of-sample)

3.279Average Loss (Out-of-Sample)

13

Jun 4, 2026

Popular datasets

US Equity Returns US Equity

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