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Financial Innovation
Fig. 5 | Financial Innovation

Fig. 5

From: Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis

Fig. 5

Out-of-sample forecasts of VaR for the four stock market indexes. The top panels refer to \(\tau = 0.01\) and the case of \(\tau = 0.05\) is presented in the lower panels. Gray bands correspond to Chinese stock market crash (2015, 07–2016, 09), 2018 recession (2018, 01–2018, 06), Brexit (2018, 08–2019, 03), and COVID-19 outbreak (2020, 02–2020, 03)

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