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,-0.010452089804383238,-0.034095983930703413,0.015974167617580894,-1.1131513012310887,0.26564345383127064,60,254334,-10452089804.3832383elastic_net,naive_rw,qlike,15,-0.14378492224890527,-0.15584771409389298,-0.13130103172678298,-34.1497302525294,0.0,60,254334,-143784922248.905274elastic_net,naive_rw,qlike,30,-0.14070621964178665,-0.15477948736493724,-0.12376875659804129,-22.29930561151515,0.0,120,254334,-140706219641.786655elastic_net,naive_rw,qlike,60,-0.1316812545851258,-0.15009095114253002,-0.10932934619840264,-15.096856960295312,0.0,240,254334,-131681254585.125816ewma,naive_rw,qlike,5,-0.14368387124373508,-0.15579232729861808,-0.13207976520734635,-32.314762609386605,0.0,60,254334,-143683871243.735087ewma,naive_rw,qlike,15,-0.1288674927353374,-0.13915228327080448,-0.119299515905166,-35.14073066501273,0.0,60,254334,-128867492735.33748ewma,naive_rw,qlike,30,-0.10692226543788798,-0.11814096371292171,-0.09366397909919273,-19.323774409288237,0.0,120,254334,-106922265437.887999ewma,naive_rw,qlike,60,-0.07804644926948441,-0.09231273385610934,-0.06033851577450078,-10.346227451757924,0.0,240,254334,-78046449269.484410garch_t,naive_rw,qlike,5,-0.09150495905868487,-0.1007235795343699,-0.08187028939302705,-18.947285777296322,0.0,60,254334,-91504959058.6848811garch_t,naive_rw,qlike,15,-0.0824164013816087,-0.09149326508145479,-0.07332205274115794,-22.77714971986192,0.0,60,254334,-82416401381.608712garch_t,naive_rw,qlike,30,-0.060606701568978676,-0.07306700741176109,-0.04349708233091784,-9.181220619352032,0.0,120,254334,-60606701568.97867613garch_t,naive_rw,qlike,60,-0.02677412926831074,-0.042570868705594664,-0.0038085454550353445,-3.0757793167274676,0.002099531761761586,240,254334,-26774129268.31073814har_rv,naive_rw,qlike,5,-0.11991153797857569,-0.1298606408519841,-0.1101356104212441,-29.590977715792587,0.0,60,254334,-119911537978.575715har_rv,naive_rw,qlike,15,-0.15408356847389032,-0.16396408551872832,-0.14451745691096665,-47.199886672971424,0.0,60,254334,-154083568473.8903216har_rv,naive_rw,qlike,30,-0.14085402915508405,-0.1529483726794114,-0.12618203129370648,-25.91204099822389,0.0,120,254334,-140854029155.0840517har_rv,naive_rw,qlike,60,-0.12829576065389078,-0.14502635912069872,-0.10801596070778882,-15.775206606244092,0.0,240,254334,-128295760653.890818lightgbm,naive_rw,qlike,5,14.384427549940272,5.463065056712306,26.370036519576324,3.0224326017261927,0.002507519147988191,60,254334,14384427549940.27119lightgbm,naive_rw,qlike,15,-0.11074436016941672,-0.15045074765605954,-0.04396709817072144,-4.113207240136607,3.901997961142101e-05,60,254334,-110744360169.4167220lightgbm,naive_rw,qlike,30,-0.14510585977166562,-0.15972832158029218,-0.12621483636274478,-21.100663623279033,0.0,120,254334,-145105859771.6656221lightgbm,naive_rw,qlike,60,-0.1381863153581714,-0.1555418703247236,-0.11469340092626744,-15.75694859703414,0.0,240,254334,-138186315358.1714222mlp,naive_rw,qlike,5,-0.17448222120920473,-0.18753727721725102,-0.15916962574445323,-34.21018610146251,0.0,60,254334,-174482221209.2047423mlp,naive_rw,qlike,15,-0.16543617998332089,-0.175492186570717,-0.15470429368886768,-47.516706501733005,0.0,60,254334,-165436179983.320924mlp,naive_rw,qlike,30,-0.15403641955970648,-0.16491938307812043,-0.14042852282849552,-30.97280394735356,0.0,120,254334,-154036419559.7064825mlp,naive_rw,qlike,60,-0.14313813763982128,-0.15608936908523363,-0.1262797547572492,-21.415121781144432,0.0,240,254334,-143138137639.821326mrpt_base,naive_rw,qlike,5,-0.18449196322165062,-0.19722278323721273,-0.1697391066905685,-38.4061600501225,0.0,60,254334,-184491963221.6506327mrpt_base,naive_rw,qlike,15,-0.17319294892507098,-0.18308906295757538,-0.16232718357409986,-49.99697301106789,0.0,60,254334,-173192948925.0709828mrpt_base,naive_rw,qlike,30,-0.16088668851044352,-0.1716289132457927,-0.14839521888555252,-35.13891203005297,0.0,120,254334,-160886688510.443529mrpt_base,naive_rw,qlike,60,-0.14988730328170582,-0.16247533942879808,-0.134997177514687,-25.61749044806729,0.0,240,254334,-149887303281.7058430mrpt_small_1m_only,naive_rw,qlike,5,-0.18362352193653533,-0.1981626610579626,-0.16583243310549758,-30.545808711874695,0.0,60,254334,-183623521936.5353431mrpt_small_1m_only,naive_rw,qlike,15,-0.17231017095898393,-0.18337803583195444,-0.16005153900247265,-43.471269153443345,0.0,60,254334,-172310170958.9839532mrpt_small_1m_only,naive_rw,qlike,30,-0.1581379700959851,-0.1707700936440591,-0.14192925344954202,-27.167211579701195,0.0,120,254334,-158137970095.985133mrpt_small_1m_only,naive_rw,qlike,60,-0.14506694663658706,-0.1600976404620416,-0.12446472711918649,-18.867806883589594,0.0,240,254334,-145066946636.5870734mrpt_small,naive_rw,qlike,5,-0.1862454665763433,-0.20208637166379134,-0.1675346298911276,-29.398639777908198,0.0,60,254334,-186245466576.3433235mrpt_small,naive_rw,qlike,15,-0.17586756948614737,-0.1873689590181809,-0.16332472785901322,-43.49840318292987,0.0,60,254334,-175867569486.1473736mrpt_small,naive_rw,qlike,30,-0.16319208002183255,-0.1755812316466507,-0.1478883429255649,-29.773923663597397,0.0,120,254334,-163192080021.8325537mrpt_small,naive_rw,qlike,60,-0.15332871126334904,-0.16733117514922358,-0.13544106067270567,-22.11636217808482,0.0,240,254334,-153328711263.3490638ridge,naive_rw,qlike,5,-0.010540180443973538,-0.03398984236258621,0.015641305528930723,-1.131363620594614,0.2579020768065403,60,254334,-10540180443.97353739ridge,naive_rw,qlike,15,-0.14400258822980347,-0.1559352633191173,-0.13159029220598734,-34.492300107758666,0.0,60,254334,-144002588229.8034740ridge,naive_rw,qlike,30,-0.1408311288029695,-0.15484760018173274,-0.1240331688304148,-22.505670520845445,0.0,120,254334,-140831128802.969541ridge,naive_rw,qlike,60,-0.13172287575370575,-0.15012141934272208,-0.10952584505128922,-15.17897597491577,0.0,240,254334,-131722875753.7057542seasonal_vol,naive_rw,qlike,5,-0.0788129260633187,-0.10349586171652136,-0.04460414803193374,-8.082930270459277,6.661338147750939e-16,60,254334,-78812926063.3187143seasonal_vol,naive_rw,qlike,15,-0.08896570178640642,-0.10446037454808764,-0.071676950248028,-17.94009639669625,0.0,60,254334,-88965701786.4064244seasonal_vol,naive_rw,qlike,30,-0.07805191930785718,-0.09697825503264107,-0.05437221377558401,-9.799000838371036,0.0,120,254334,-78051919307.8571845seasonal_vol,naive_rw,qlike,60,-0.06357895926512992,-0.08501272928161778,-0.03667782437263962,-6.056796057676597,1.3885945726599402e-09,240,254334,-63578959265.1299246tcn,naive_rw,qlike,5,-0.1844358506209697,-0.19759047758610215,-0.16897869588860767,-35.21575696984104,0.0,60,254334,-184435850620.969747tcn,naive_rw,qlike,15,-0.17109454564114937,-0.1817243864611085,-0.15998970428783438,-47.40097458836027,0.0,60,254334,-171094545641.1493848tcn,naive_rw,qlike,30,-0.1576004656940244,-0.16861817954811292,-0.14414388639891762,-31.960210349356995,0.0,120,254334,-157600465694.0243849tcn,naive_rw,qlike,60,-0.14452672740764153,-0.15710991754346196,-0.1283163744769397,-22.770167721959755,0.0,240,254334,-144526727407.6415450
Files · main
Menu

Theme