US Equity Returns
Benchmarks
| Task Name | Dataset Name | SOTA Result | Trend | |
|---|---|---|---|---|
| Joint VaR-ES forecasting | US Equity Returns Nano stocks (out-of-sample) | Average Loss (ℓoos)3.6932 | 13 | |
| Joint VaR-ES forecasting | US Equity Returns Micro stocks (out-of-sample) | Average Loss (OOS)3.4036 | 13 | |
| Joint VaR-ES forecasting | US Equity Returns Small stocks (out-of-sample) | Average Loss (Out-of-Sample)3.2635 | 13 | |
| Joint VaR-ES forecasting | US Equity Returns Large stocks (out-of-sample) | Average Loss (ℓoos)3.0417 | 13 | |
| Joint VaR-ES forecasting | US Equity Returns Mega stocks (out-of-sample) | Average Loss (OOS)2.8081 | 13 | |
| Joint VaR-ES forecasting | US Equity Returns All stocks (out-of-sample) | Average Loss (Out-of-Sample)3.2793 | 13 |
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