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Joint VaR-ES forecasting on US Equity Returns All stocks (out-of-sample)
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3.2793
Average Loss (Out-of-Sample)
ReSGA
3.221984
3.608867
3.99575
4.382633
Jun 3, 2026
Average Loss (Out-of-Sample)
Updated 1mo ago
Evaluation Results
Method
Method
Links
Average Loss (Out-of-Sample)
ReSGA
Model category=Spatial...
2026.06
3.2793
SGA
Model category=Spatial...
2026.06
3.2868
Informer
Model category=Tempora...
2026.06
3.2985
GRU
Model category=Tempora...
2026.06
3.3022
LSTM
Model category=Tempora...
2026.06
3.3063
DInformer
Model category=Tempora...
2026.06
3.3134
DLinear
Model category=Tempora...
2026.06
3.3166
EInformer
Model category=Tempora...
2026.06
3.3276
NN
Model category=Point-w...
2026.06
3.3322
LANN
Model category=Tempora...
2026.06
3.344
Linear
Model category=Point-w...
2026.06
3.3442
GAS
Model category=Econome...
2026.06
4.3461
GARCH
Model category=Econome...
2026.06
4.7122
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