SPB Git

spb/wp41_uqo

Public
6.9 KB · 50 lines csv
1model,reference,metric,H,diff,lo,hi,dm_t,dm_p,lag,n,rel_diff2elastic_net,naive_rw,qlike,5,0.05514663565784957,0.035910224764555715,0.07541241121490348,7.504413644964513,6.17284001691587e-14,240,986468,55146635657.849573elastic_net,naive_rw,qlike,15,-0.1212912981842278,-0.13467563826156376,-0.10365945662935586,-21.170567577541462,0.0,240,986468,-121291298184.227814elastic_net,naive_rw,qlike,30,-0.12468574596082826,-0.13813813803251232,-0.10709615605281635,-20.370764885923034,0.0,480,986468,-124685745960.828265elastic_net,naive_rw,qlike,60,-0.12234566499031674,-0.13676297245396962,-0.10397137914130933,-17.239313177184467,0.0,960,986468,-122345664990.316746ewma,naive_rw,qlike,5,-0.12797135612615712,-0.1360024203367813,-0.12081739192053334,-41.929716223496335,0.0,240,986468,-127971356126.157127ewma,naive_rw,qlike,15,-0.10996225269347051,-0.117486425449519,-0.10106864456087608,-30.874978075343076,0.0,240,986468,-109962252693.470528ewma,naive_rw,qlike,30,-0.08956891977333716,-0.09820088038850718,-0.07865345474307266,-18.614064364989822,0.0,480,986468,-89568919773.337169ewma,naive_rw,qlike,60,-0.06156613654049436,-0.07235367774245811,-0.04838606384772772,-9.714254865280108,0.0,960,986468,-61566136540.4943610garch_t,naive_rw,qlike,5,-0.037922747773719075,-0.053043186344663616,-0.01654697875368484,-4.1518036130814275,3.298652745553632e-05,240,986468,-37922747773.7190811garch_t,naive_rw,qlike,15,-0.02936683613506504,-0.041810839948714276,-0.013317664419051549,-4.821418636547796,1.4254085933806948e-06,240,986468,-29366836135.0650412garch_t,naive_rw,qlike,30,-0.010149818895985058,-0.022633303174539928,0.005645395133702854,-1.7123276686712416,0.08683630046390367,480,986468,-10149818895.98505813garch_t,naive_rw,qlike,60,0.02553431567866422,0.01341064773982712,0.039834584633314025,4.317621346222381,1.5771970196309937e-05,960,986468,25534315678.66422314har_rv,naive_rw,qlike,5,0.019229044245835502,0.010343474599352604,0.03080296307594351,4.048739482666287,5.1494225306703e-05,240,986468,19229044245.83550315har_rv,naive_rw,qlike,15,-0.11677912373599426,-0.1365788391576956,-0.08244421046307808,-9.23815244068624,0.0,240,986468,-116779123735.9942616har_rv,naive_rw,qlike,30,-0.11280891155603595,-0.13102647873321088,-0.08694641020496831,-11.229371675184483,0.0,480,986468,-112808911556.0359517har_rv,naive_rw,qlike,60,-0.11508236846123034,-0.12758216489390575,-0.09900074692715247,-17.731765022580642,0.0,960,986468,-115082368461.2303318lightgbm,naive_rw,qlike,5,18.14267205302874,11.313136146300282,26.572139029031447,4.771992756871516,1.8241206583002878e-06,240,986468,18142672053028.7419lightgbm,naive_rw,qlike,15,0.11471871421175422,-0.10464143528985646,0.5019328859513484,0.7513002808452288,0.45247196023715675,240,986468,114718714211.7542320lightgbm,naive_rw,qlike,30,-0.1327878715945487,-0.1435906758404934,-0.11892496328328034,-25.794123259417184,0.0,480,986468,-132787871594.5486921lightgbm,naive_rw,qlike,60,-0.13466213447329126,-0.1454455071229749,-0.12199923190002111,-26.09604891777598,0.0,960,986468,-134662134473.2912622mlp,naive_rw,qlike,5,-0.15818212313424512,-0.1680418197370216,-0.14813973787287724,-41.83273404639201,0.0,240,986468,-158182123134.2451223mlp,naive_rw,qlike,15,-0.14508869311135061,-0.15436143185826265,-0.13496355204923183,-36.674212587003055,0.0,240,986468,-145088693111.3506224mlp,naive_rw,qlike,30,-0.13489944655719033,-0.14469498797834177,-0.12294360903045165,-28.753849693168878,0.0,480,986468,-134899446557.1903425mlp,naive_rw,qlike,60,-0.12445594328523753,-0.13672717546480168,-0.1106254163427628,-19.907094751279125,0.0,960,986468,-124455943285.2375326mrpt_base,naive_rw,qlike,5,-0.17153971110963656,-0.17991848857909487,-0.1636278110734554,-60.696784763891735,0.0,240,986468,-171539711109.6365727mrpt_base,naive_rw,qlike,15,-0.16037277205437755,-0.16827455138672814,-0.15101807301844553,-48.0930999509197,0.0,240,986468,-160372772054.3775628mrpt_base,naive_rw,qlike,30,-0.1508177119533603,-0.15938799518097138,-0.1401897346295408,-37.94735438990161,0.0,480,986468,-150817711953.360329mrpt_base,naive_rw,qlike,60,-0.14340084012486906,-0.15332643397029128,-0.13150150618144663,-30.178412539239584,0.0,960,986468,-143400840124.8690530mrpt_small_1m_only,naive_rw,qlike,5,-0.1718493102756806,-0.1802182411089394,-0.1639016103569693,-60.52932247828361,0.0,240,986468,-171849310275.680631mrpt_small_1m_only,naive_rw,qlike,15,-0.15902869282831406,-0.16722116607132945,-0.14929533457822317,-45.154125855331884,0.0,240,986468,-159028692828.3140632mrpt_small_1m_only,naive_rw,qlike,30,-0.14857414727344756,-0.15750857998452453,-0.13724146316514613,-34.74379573315808,0.0,480,986468,-148574147273.4475733mrpt_small_1m_only,naive_rw,qlike,60,-0.14011901777049007,-0.15032827356628806,-0.1279479800778564,-28.03387092503335,0.0,960,986468,-140119017770.4900834mrpt_small,naive_rw,qlike,5,-0.17518582839370878,-0.18385594638369196,-0.16726180315149713,-61.14501723275767,0.0,240,986468,-175185828393.7087735mrpt_small,naive_rw,qlike,15,-0.16395858212306308,-0.17142951597104927,-0.15584331075657587,-59.185478260648004,0.0,240,986468,-163958582123.0630836mrpt_small,naive_rw,qlike,30,-0.15469510096077538,-0.162566250033025,-0.14637176152427483,-47.86610746464878,0.0,480,986468,-154695100960.775437mrpt_small,naive_rw,qlike,60,-0.14813941021870586,-0.1565885072825394,-0.13937239353564376,-37.974515129933806,0.0,960,986468,-148139410218.7058738ridge,naive_rw,qlike,5,0.05434479946610184,0.035119566998914664,0.07457437004067055,7.369458339111394,1.7141843500212417e-13,240,986468,54344799466.1018439ridge,naive_rw,qlike,15,-0.12177565285940693,-0.13516816166206305,-0.10433388670680241,-21.42322087778676,0.0,240,986468,-121775652859.4069440ridge,naive_rw,qlike,30,-0.1251705123468473,-0.13857126212596504,-0.10788029260296195,-20.70486732492938,0.0,480,986468,-125170512346.8473241ridge,naive_rw,qlike,60,-0.12281264246708483,-0.13714613092327455,-0.10471963332346026,-17.512698047564392,0.0,960,986468,-122812642467.0848442seasonal_vol,naive_rw,qlike,5,-0.08472593190631705,-0.09383203986923513,-0.07628602505627109,-26.489033288725274,0.0,240,986468,-84725931906.3170643seasonal_vol,naive_rw,qlike,15,-0.08305269577503387,-0.09170656806188067,-0.0722302857401674,-23.843938519219417,0.0,240,986468,-83052695775.0338744seasonal_vol,naive_rw,qlike,30,-0.07325382995932987,-0.08412048919373911,-0.058824083467476404,-14.100977601237085,0.0,480,986468,-73253829959.3298845seasonal_vol,naive_rw,qlike,60,-0.06019653909459674,-0.07583149089793001,-0.039288613660832236,-7.3826604519304215,1.5520917884259688e-13,960,986468,-60196539094.5967446tcn,naive_rw,qlike,5,-0.16924042856514054,-0.17691466269893846,-0.16195577863786578,-63.33669591674366,0.0,240,986468,-169240428565.1405347tcn,naive_rw,qlike,15,-0.15020597397889102,-0.15939800651220165,-0.1398933227001201,-35.296847089098854,0.0,240,986468,-150205973978.8910248tcn,naive_rw,qlike,30,-0.1379415721564781,-0.14855650992027358,-0.12437035841244323,-23.77089454110109,0.0,480,986468,-137941572156.478149tcn,naive_rw,qlike,60,-0.13055303736382312,-0.14054911320384056,-0.11882581873195913,-25.83876563165141,0.0,960,986468,-130553037363.8231250
Files · 013c8cc25081c2aa0aed28c2b71bcb00657ec293
Menu

Theme