model,H,days,n,cov_50,cov_80,cov_95,pit_var,pit_ks,crps,crps_scaled
ewma,5,stress,101561,0.5173344098620534,0.8235838560077196,0.9677435235966562,0.07868632481903207,0.015580088577015039,0.001560950704799081,0.47902872589559814
ewma,5,normal,906864,0.534868513911678,0.8337788246087616,0.9685708110587695,0.0759204083662533,0.021943739618568492,0.0008421397357531141,0.45889593504953496
ewma,15,stress,101561,0.5253689900650841,0.8302891858095135,0.9683441478520298,0.07725481299034553,0.019155793633387833,0.0026952416681047635,0.4726231459421551
ewma,15,normal,906864,0.546711524550539,0.8453417491487147,0.9720399089609908,0.07364299421170924,0.026017849055540082,0.001414050734146967,0.4441046141045706
ewma,30,stress,101561,0.523842813678479,0.8393280885379231,0.9704217169976664,0.07663775403514256,0.023742706842368816,0.0036767842954170053,0.46124815047262147
ewma,30,normal,906864,0.5542595141057535,0.8511871680869458,0.9731580479542687,0.0723967968139889,0.030780523550153982,0.001958759664022312,0.4354039759193935
ewma,60,stress,101561,0.538287334705251,0.8413761187857544,0.9681472218666615,0.07505885363887703,0.026840296150326043,0.00520108216752947,0.4581590765982045
ewma,60,normal,906864,0.5665711727447555,0.8584594823479595,0.9741559925192752,0.07044870047840789,0.03611903902869604,0.0026970675789919738,0.42439923656027806
garch_t,5,stress,101561,0.48373883675820445,0.7854097537440553,0.9494884847530056,0.08610172223561999,0.012856910921421938,0.001570577948886722,0.4811558069562281
garch_t,5,normal,906864,0.5242131124402336,0.8238126113728188,0.9626801813722896,0.07794343699303702,0.020835340060476215,0.0008423997215088564,0.4594384145196614
garch_t,15,stress,101561,0.4907789407351247,0.7969299238881067,0.9564399720365101,0.08411307773439897,0.007466772540109079,0.0026892560636859065,0.4717140113892608
garch_t,15,normal,906864,0.5419577797773426,0.8408901444979622,0.9691089292330493,0.07466496832689723,0.023753663258236607,0.0014129903389496058,0.44406414663338123
garch_t,30,stress,101561,0.4936245212236981,0.8066580675653056,0.9580153799194573,0.08302338673490055,0.00774837761760962,0.003683939302094634,0.4615562209023406
garch_t,30,normal,906864,0.5558826902380071,0.8526118580073748,0.9721634114927927,0.07215100900397228,0.031165289559562798,0.001956718698469727,0.43537062471086035
garch_t,60,stress,101561,0.512450645424917,0.813865558629789,0.9578972243282362,0.08043691573861958,0.01212267701254982,0.0052165154031659266,0.45858470714017585
garch_t,60,normal,906864,0.580512623723072,0.8684532631133224,0.9758982603786235,0.06817082845820557,0.04275893122201002,0.002697236152333021,0.42522801715954534
har_rv,5,stress,101561,0.5795334823406623,0.8822874922460393,0.9842262285719913,0.0666834675826132,0.04492586893745183,0.0015762885389977005,0.4843059925456746
har_rv,5,normal,906864,0.6029845710051341,0.8927898780853579,0.9871447096808341,0.06325349820710202,0.05571462953975678,0.000854174639754503,0.46553358122742605
har_rv,15,stress,101561,0.47280944457025825,0.7826527899488978,0.9531808469786631,0.08732486655600945,0.015923457709661776,0.0027010961236994917,0.47306472081791434
har_rv,15,normal,906864,0.5008964960567406,0.8095127825120415,0.9635810882337373,0.08173965338064518,0.009545794655946793,0.0014049369938508142,0.44188622351240114
har_rv,30,stress,101561,0.4470318330855348,0.7688088931774992,0.9539488583215998,0.09117858968534595,0.027603814540094307,0.0036749470155318497,0.46089994477823726
har_rv,30,normal,906864,0.48647206196298454,0.7980116092379894,0.9609169621905821,0.08433770955260621,0.012089348455123328,0.0019413206771398135,0.43226959715950575
har_rv,60,stress,101561,0.45582457833223383,0.7730428018629198,0.948700780811532,0.09011322077024338,0.026095778988328044,0.005157344739525688,0.45565499632692097
har_rv,60,normal,906864,0.49528595246916846,0.8052442262566383,0.9622060198662644,0.08276059314602116,0.010105141241391724,0.002660343545428913,0.4196075593998471
lightgbm,5,stress,101561,0.3663118716830279,0.6600663640570692,0.8968304762654956,0.1109478716865296,0.08104294372207366,0.0015840945490779852,0.48580300340803173
lightgbm,5,normal,906864,0.37881644877291415,0.673008301134459,0.9002187759134777,0.10820293447661479,0.07390968989401336,0.0008493884637966377,0.4632274287530882
lightgbm,15,stress,101561,0.4197477378127431,0.7302704778409035,0.9367276809011333,0.09793725023040518,0.044008599826878325,0.00270220488871346,0.47313354836709326
lightgbm,15,normal,906864,0.43968445103124615,0.7493416873974488,0.9432108893946611,0.09396159151906174,0.036150191793217656,0.0014082903303886851,0.4426785719031326
lightgbm,30,stress,101561,0.45526333927393386,0.7727474128848673,0.9493309439647108,0.09017459548156674,0.023069594085886713,0.0036606759878273277,0.4593682955869144
lightgbm,30,normal,906864,0.4869175532384128,0.790401868416874,0.952807697736375,0.08525511883449315,0.012954305971318525,0.0019400855532433587,0.4319250180443441
lightgbm,60,stress,101561,0.47067279762901115,0.7811069209637558,0.9469579858410216,0.0879049141200623,0.018604802106894525,0.005146305443450115,0.4548973317754807
lightgbm,60,normal,906864,0.5019550891864711,0.802780791827661,0.9559680393090916,0.08255893304610028,0.012804693219253371,0.0026603713818231637,0.4196479494738623
mlp,5,stress,101561,0.5316213901005307,0.8210435107964672,0.9546971770659998,0.07799456675592413,0.02064676887258937,0.0015569800319302088,0.4782710646205288
mlp,5,normal,906864,0.5486853596570158,0.8308114557419856,0.9563561901233261,0.07535841568109655,0.028006493173197228,0.0008390712112741282,0.4579198171266715
mlp,15,stress,101561,0.5501816642215024,0.8332627681885764,0.9544805584820945,0.07511215072761968,0.026848352129447917,0.0026956560774639288,0.4728810628878141
mlp,15,normal,906864,0.5711815663649676,0.8468326011397519,0.9601847686091851,0.0715626099105998,0.03766821901021375,0.0014094089141040854,0.44358445738029123
mlp,30,stress,101561,0.5490591861049025,0.8402733332676914,0.9591969358316677,0.0743941680640457,0.027799886107818195,0.003660874010438695,0.46012408327851095
mlp,30,normal,906864,0.5782862700471074,0.8524111663931968,0.9615829937013709,0.07029332294543217,0.042378763972922256,0.0019502954875432125,0.4345171792639143
mlp,60,stress,101561,0.5594174929352803,0.8409724205157492,0.9552485698250313,0.07353203162228733,0.03501325686102574,0.0051581682030854255,0.4559239343783587
mlp,60,normal,906864,0.5857857407505426,0.8573997865170522,0.9625467545298965,0.06904685246363958,0.04550582125941885,0.0026779992812198013,0.42259396665905746
mrpt_base,5,stress,101561,0.5372140880849933,0.8247457193213931,0.9560362737665049,0.07714024757964,0.023396536953023683,0.0015523928017360075,0.477247143837273
mrpt_base,5,normal,906864,0.5506360380387798,0.8312646659256515,0.955976860918506,0.07517199342745347,0.028754238683403543,0.0008385675723462495,0.4575505806292306
mrpt_base,15,stress,101561,0.5518161499000601,0.8339027776410236,0.9540571676135524,0.0748961048508503,0.028028553221232183,0.002696276192350414,0.47293015930991616
mrpt_base,15,normal,906864,0.5698208331127931,0.8455975758217329,0.9596698071596182,0.07184556564136858,0.03631155800791483,0.001408854189717687,0.4432557077771508
mrpt_base,30,stress,101561,0.5500241234332076,0.8401256387786651,0.957916916926773,0.07439036184523352,0.027493618604910258,0.0036600262657314393,0.46012702269093736
mrpt_base,30,normal,906864,0.5758360680322518,0.8500216129430653,0.9606148220681381,0.07078302374619913,0.04012511549794945,0.001949487837342716,0.4341837967443694
mrpt_base,60,stress,101561,0.5593288762418644,0.8398302498006125,0.9533383877669578,0.07369068630113443,0.03363615547904053,0.005157013827768692,0.45592220787268406
mrpt_base,60,normal,906864,0.5829540041285132,0.8547312496691897,0.9616623881861007,0.06957577443630213,0.04221160010642616,0.002676502030503157,0.4222840668379426
mrpt_small,5,stress,101561,0.5359636080779039,0.8238398597886984,0.9559673496716259,0.07738710525688845,0.02232628882827037,0.0015518599855869851,0.4770090569791077
mrpt_small,5,normal,906864,0.55133956138958,0.8326452477990085,0.9570078865188165,0.07492964979451523,0.028482182231051978,0.0008384119884263805,0.457404490158264
mrpt_small,15,stress,101561,0.5509496755644391,0.8336270812615079,0.9533482340662263,0.07513837232754197,0.026552124173045116,0.002693580637488175,0.47238845659967793
mrpt_small,15,normal,906864,0.5710161611884472,0.846927433440957,0.9606512112069726,0.07155544876727853,0.03607758971710842,0.0014088041481548368,0.4432162516874136
mrpt_small,30,stress,101561,0.5479859394846447,0.8383336123118126,0.9580646114157993,0.07482912386593193,0.025764484641115887,0.0036604382189153835,0.45997315551487145
mrpt_small,30,normal,906864,0.5764767374159742,0.8510471250374918,0.9613580426613031,0.0705971239321189,0.03953868048427636,0.001949156685732096,0.4341597668253318
mrpt_small,60,stress,101561,0.5547798859798545,0.8380579159322968,0.9528953042998789,0.07438970580552268,0.03208032875687272,0.005158999352828467,0.45591318758768096
mrpt_small,60,normal,906864,0.5825746749236931,0.8543353799467175,0.9618829284214612,0.06965055888138162,0.041853091861705716,0.0026757318029834868,0.42224869931384557
mrpt_small_1m_only,5,stress,101561,0.5328521775090832,0.8222644519057513,0.9554947273067418,0.07781773287929421,0.021087929175904352,0.0015513108635611427,0.47687985485445755
mrpt_small_1m_only,5,normal,906864,0.5490216835159406,0.83036155366185,0.9557452936713774,0.0754096568908861,0.027613624935529102,0.0008383430355742033,0.4573984477523118
mrpt_small_1m_only,15,stress,101561,0.5480154783824499,0.830043028327803,0.952944535796221,0.07568072512645457,0.026023947417141563,0.0026929112978819718,0.47225523218814464
mrpt_small_1m_only,15,normal,906864,0.5681513435311139,0.8439490375624129,0.9589541540958733,0.07216369004261092,0.035304804869391804,0.0014085118134000531,0.44312171983847226
mrpt_small_1m_only,30,stress,101561,0.5450025108063135,0.837240673093018,0.9573950630655468,0.07520796344774147,0.025782037552592035,0.003657568800654501,0.459699419591376
mrpt_small_1m_only,30,normal,906864,0.573968092238748,0.8485561230790946,0.9600822173997424,0.07115013141046563,0.038747133796801114,0.0019487945834095967,0.4341078709941734
mrpt_small_1m_only,60,stress,101561,0.5545140358996071,0.8369649767135022,0.9531217691830526,0.07451480772302393,0.03274853820848614,0.005157111400362023,0.45579404438912136
mrpt_small_1m_only,60,normal,906864,0.5807739639019742,0.8524001393814288,0.9607515570140617,0.07007673237754473,0.04120102255963021,0.0026754822799083303,0.42228746575968684
naive_rw,5,stress,101561,0.6320536426384143,0.8783982040350135,0.9619538996268252,0.06263455878113555,0.06822946960697035,0.0016142885214220398,0.4941455250788122
naive_rw,5,normal,906864,0.6455620688438398,0.8821024982797862,0.9644026006104554,0.06074393923420874,0.07519622378531055,0.0008731119893390489,0.4738687622728497
naive_rw,15,stress,101561,0.6429830348263605,0.8845324484792391,0.9642973188527092,0.061006685033460774,0.07193794951008908,0.0027935507967629235,0.48837062067570397
naive_rw,15,normal,906864,0.6581780730076395,0.8923543111205209,0.9694000423437252,0.058347701490631204,0.08058638199121176,0.0014668673375158679,0.4591962296889001
naive_rw,30,stress,101561,0.6422248697826922,0.8935024271127696,0.968324455253493,0.060043622071237444,0.0726961133424423,0.0037910666679803104,0.47472317015607685
naive_rw,30,normal,906864,0.6656687221016603,0.8990796855978405,0.9724721678222975,0.05688950439004749,0.0849137490421284,0.0020290875420145966,0.44961903832248445
naive_rw,60,stress,101561,0.655537066393596,0.8956981518496273,0.9700278650269296,0.05845703614387511,0.0787450920361703,0.00531766652583042,0.4689564351017848
naive_rw,60,normal,906864,0.6773705869898904,0.9075969494874645,0.9762500220540236,0.05479207722625068,0.08984372661439977,0.0027903870891893374,0.43773643233271636
tcn,5,stress,101561,0.5427083230767716,0.8315101269187976,0.9595021711089887,0.07582689031835055,0.02527718111781238,0.0015539103694634194,0.47777107596036833
tcn,5,normal,906864,0.5554085287319819,0.8368873392261684,0.9594834506607386,0.07404892179705347,0.030879934868705328,0.0008389222727470308,0.45795940937825436
tcn,15,stress,101561,0.5595651874243066,0.8419865893403964,0.9587735449631256,0.07323525254399178,0.03214569495086897,0.002694737410822984,0.472984153178846
tcn,15,normal,906864,0.5780491892940948,0.8527331551368231,0.9633881155277969,0.07022646250623155,0.04027340022119885,0.0014113435949005225,0.44415893422545893
tcn,30,stress,101561,0.5576451590669647,0.848189757879501,0.9621015941158516,0.07273237783288493,0.032298819081579666,0.0036660293538220996,0.4607161431819085
tcn,30,normal,906864,0.5849179149243988,0.8577328022724466,0.9640739956597681,0.06906049152369831,0.043976439673897944,0.0019547335748586435,0.4353516529747356
tcn,60,stress,101561,0.5665659062041531,0.8476679040182747,0.9576510668465257,0.07214389682628286,0.037977713435367155,0.0051714043825297745,0.45690376262243093
tcn,60,normal,906864,0.5932003034633638,0.8623012932479401,0.9648888918294254,0.06777221333848181,0.047709856700694026,0.0026867268688218152,0.4237305851700938