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Joint VaR-ES forecasting on US Equity Returns Small stocks (out-of-sample)
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3.2635
Average Loss (Out-of-Sample)
ReSGA
3.241136
3.392093
3.54305
3.694007
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
3.2635
SGA
Model category=Spatial...
2026.06
3.2647
Informer
Model category=Tempora...
2026.06
3.2779
GRU
Model category=Tempora...
2026.06
3.2807
LSTM
Model category=Tempora...
2026.06
3.2838
DLinear
Model category=Tempora...
2026.06
3.2919
DInformer
Model category=Tempora...
2026.06
3.2925
NN
Model category=Point-w...
2026.06
3.3055
LANN
Model category=Tempora...
2026.06
3.3055
EInformer
Model category=Tempora...
2026.06
3.3148
Linear
Model category=Point-w...
2026.06
3.3305
GAS
Model category=Econome...
2026.06
3.7713
GARCH
Model category=Econome...
2026.06
3.8226
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