HR | LRUC | LRIND | LRCC | DQ | M-Loss | |
---|---|---|---|---|---|---|
FTSE100 (\(\tau = 0.01\)) | ||||||
Hist | 0.0143 | 0.6879 (0.4069) | 0.1739 (0.6767) | 0.8618 (0.6499) | 17.2559 (0.0084) | 0.6477 |
Normal | 0.0166 | 1.5705 (0.2101) | 0.2373 (0.6261) | 1.8078 (0.4050) | 15.7729 (0.0150) | 0.8753 |
CAViaR-SAV | 0.0166 | 1.5705 (0.2101) | 0.2373 (0.6261) | 1.8078 (0.4050) | 14.5064 (0.0245) | 0.4353 |
CAViaR-AS | 0.0119 | 0.1451 (0.7033) | 0.1205 (0.7285) | 0.2656 (0.8757) | 20.5229 (0.0022) | 0.3184 |
CAViaR-IGARCH | 0.0119 | 0.1451 (0.7033) | 0.1205 (0.7285) | 0.2656 (0.8757) | 19.5541 (0.0033) | 0.3134 |
CAViaR-Adaptive | 0.0190 | 2.7446 (0.0976) | 0.3107 (0.5773) | 3.0553 (0.2171) | 19.3534 (0.0036) | 0.2989 |
QRNN | 0.0071 | 0.3846 (0.5351) | 0.0432 (0.8354) | 0.4278 (0.8074) | 1.2566 (0.9740) | 0.1013 |
LASSO-QR | 0.0143 | 0.6879 (0.4069) | 0.1739 (0.6767) | 0.8618 (0.6499) | 26.1722 (0.0002) | 0.7968 |
QR-RF | 0.0214 | 4.1974 (0.0404) | 0.3951 (0.5296) | 4.5925 (0.1006) | 24.2296 (0.0005) | 0.6218 |
QR-GBDT | 0.0214 | 4.1742 (0.0411) | 0.3942 (0.5301) | 4.5683 (0.1019) | 20.0751 (0.0027) | 0.6056 |
QR-SVM | 0.0142 | 0.6879 (0.4068) | 0.1739 (0.6766) | 0.8618 (0.6499) | 16.4757 (0.0114) | 0.5806 |
QR-CNN | 0.0166 | 1.5704 (0.2101) | 0.2372 (0.6261) | 1.8077 (0.4049) | 14.8120 (0.0217) | 0.4762 |
QR-LSTM | 0.0142 | 0.6879 (0.4068) | 0.1739 (0.6766) | 0.8618 (0.6499) | 16.3423 (0.0120) | 0.4536 |
QR-GRU | 0.0190 | 2.7445 (0.0975) | 0.3106 (0.5772) | 3.0552 (0.2170) | 14.2153 (0.0273) | 0.5161 |
Proposed model | 0.0071 | 0.3846 (0.5351) | 0.0432 (0.8354) | 0.4278 (0.8074) | 1.7891 (0.9380) | 0.1812 |
FTSE100 (\(\tau = 0.05\)) | ||||||
Hist | 0.0546 | 0.1947 (0.6590) | 0.0639 (0.8004) | 0.2587 (0.8787) | 3.3210 (0.7676) | 1.2893 |
Normal | 0.0546 | 0.1947 (0.6590) | 0.0639 (0.8004) | 0.2587 (0.8787) | 4.2481 (0.6431) | 1.2728 |
CAViaR-SAV | 0.0475 | 0.0509 (0.8215) | 0.0026 (0.9594) | 0.0535 (0.9736) | 3.4985 (0.7442) | 1.0248 |
CAViaR-AS | 0.0499 | 0.0000 (1.0000) | 0.0027 (0.9587) | 0.0027 (0.9987) | 0.5658 (0.9969) | 0.9339 |
CAViaR-IGARCH | 0.0546 | 0.1947 (0.6590) | 0.4212 (0.5164) | 0.6159 (0.7349) | 4.4775 (0.6124) | 0.9515 |
CAViaR-Adaptive | 0.0475 | 0.0509 (0.8215) | 0.0026 (0.9594) | 0.0535 (0.9736) | 8.2815 (0.2182) | 1.2434 |
QRNN | 0.0736 | 4.3996 (0.0360) | 1.0393 (0.3080) | 5.4388 (0.0659) | 17.8002 (0.0068) | 0.7259 |
LASSO-QR | 0.0285 | 4.7707 (0.0290) | 0.7060 (0.4008) | 5.4767 (0.0647) | 6.3422 (0.3860) | 1.0813 |
QR-RF | 0.0593 | 0.7579 (0.3839) | 0.2019 (0.6531) | 0.9598 (0.6188) | 3.9701 (0.6807) | 0.9914 |
QR-GBDT | 0.0475 | 0.0509 (0.8215) | 2.0008 (0.1572) | 2.0517 (0.3585) | 3.1034 (0.7958) | 0.8558 |
QR-SVM | 0.0427 | 0.4730 (0.4915) | 0.0681 (0.7941) | 0.5411 (0.7629) | 1.1158 (0.9808) | 1.1616 |
QR-CNN | 0.0570 | 0.4321 (0.5109) | 0.2883 (0.5912) | 0.7204 (0.6975) | 3.2423 (0.7778) | 0.8453 |
QR-LSTM | 0.0783 | 6.1955 (0.0128) | 0.0010 (0.9744) | 6.1966 (0.0451) | 12.6532 (0.0488) | 1.1551 |
QR-GRU | 0.0285 | 4.7707 (0.0289) | 0.7059 (0.4007) | 5.4767 (0.0646) | 5.9811 (0.4253) | 0.7904 |
Proposed model | 0.0333 | 2.7691 (0.0961) | 0.9657 (0.3258) | 3.7348 (0.1545) | 4.9745 (0.5471) | 0.3911 |