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Tail Risk Forecasting research benchmarks · SOTA2 Research

Tail Risk Forecasting

Benchmarks

Dataset NameSOTA MethodSort

Dataset NameSOTA methodMetricTrendResultsLast Updated

Canada equity market (out-of-sample)

3.407Average Loss

11

Jun 4, 2026

Australia equity market (out-of-sample)

3.633Average Loss

11

Jun 4, 2026

UK equity market (out-of-sample)

3.399Average Loss

11

Jun 4, 2026

Japan equity market (out-of-sample)

2.888Average Loss

11

Jun 4, 2026

China equity market (out-of-sample)

3.255Average Loss

11

Jun 4, 2026

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China equity market Japan equity market UK equity market Australia equity market Canada equity market

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