Table 13 Out-of-sample ES forecast evaluation using joint scoring functions
FTSE100 | N225 | SPX500 | DAX | |||||
|---|---|---|---|---|---|---|---|---|
SFZN | SFZ0 | SFZN | SFZ0 | SFZN | SFZ0 | SFZN | SFZ0 | |
\(\tau = 0.05\) | ||||||||
GD | 3.0831 | 4.8030 | 2.7255 | 2.1201 | 2.9327 | 3.1874 | 4.1507 | 7.6814 |
KDE | 3.1668 | 4.8842 | 2.7424 | 2.1253 | 2.9239 | 3.1650 | 4.2828 | 8.1125 |
MCMC | 3.1112 | 4.7895 | 2.7123 | 2.1101 | 2.9078 | 3.1540 | 4.1330 | 7.7470 |
LSGAN | 2.6262 | 2.2113 | 2.9775 | 2.2288 | 2.6070 | 1.7495 | 3.3790 | 2.6315 |
\(\tau = 0.01\) | ||||||||
GD | 4.1411 | 4.0132 | 2.6054 | 1.9298 | 3.8268 | 3.4683 | 3.8268 | 3.4683 |
KDE | 4.0906 | 3.9082 | 2.6791 | 1.9877 | 3.6573 | 3.2680 | 3.6573 | 3.2680 |
MCMC | 4.1067 | 3.9767 | 2.6171 | 1.9374 | 3.7924 | 3.4298 | 3.7924 | 3.4298 |
LSGAN | 3.1220 | 2.3192 | 2.7616 | 1.9758 | 3.2685 | 2.4135 | 3.2918 | 2.9071 |