SPB Git

spb/wp41_uqo

Public
6.4 KB · 46 lines csv
1model,reference,metric,H,diff,lo,hi,dm_t,dm_p,lag,n,rel_diff2elastic_net,naive_rw,qlike,5,-0.02906922453727773,-0.07347202594203216,0.012662611947627387,-1.4254304068363468,0.15403282372056903,20,4659,-29069224537.2777333elastic_net,naive_rw,qlike,15,-0.1405235795321158,-0.17157231611086945,-0.11057579350945375,-11.713399003932206,0.0,40,4659,-140523579532.11584elastic_net,naive_rw,qlike,30,-0.1380038013033072,-0.1778450426781619,-0.09847046390909844,-9.875580555357955,0.0,60,4659,-138003801303.30725elastic_net,naive_rw,qlike,60,-0.13480669954535188,-0.177313918665119,-0.09205117845507091,-8.24280287471435,2.220446049250313e-16,120,4659,-134806699545.351886ewma,naive_rw,qlike,5,-0.1255492296811903,-0.15959218287714033,-0.10032787615275464,-8.790178252145457,0.0,20,4659,-125549229681.19037ewma,naive_rw,qlike,15,-0.11610326741044216,-0.14276325152383312,-0.09283955409468131,-8.637599987470196,0.0,40,4659,-116103267410.442178ewma,naive_rw,qlike,30,-0.09962403507408667,-0.12847663191458228,-0.07174469977180385,-6.650282475882387,2.9253044431243325e-11,60,4659,-99624035074.086679ewma,naive_rw,qlike,60,-0.0753730937963913,-0.10652864630945018,-0.04249136316281787,-3.656765717472574,0.00025541762696046355,120,4659,-75373093796.391310garch_t,naive_rw,qlike,5,-0.06845837520747712,-0.09890770635313263,-0.04065262121495052,-5.568673103061808,2.5668654091148824e-08,20,4659,-68458375207.4771211garch_t,naive_rw,qlike,15,-0.0471041180761516,-0.07212698761521562,-0.02297154839787158,-4.210905333377109,2.5434932147350153e-05,40,4659,-47104118076.151612garch_t,naive_rw,qlike,30,-0.016714974721764555,-0.03910672424431173,0.006059883559899815,-1.3437858081654246,0.17901765999965447,60,4659,-16714974721.76455513garch_t,naive_rw,qlike,60,0.04026232839171846,0.019528818969128024,0.06361718407816977,2.9171674497582685,0.0035322608615622197,120,4659,40262328391.7184714har_rv,naive_rw,qlike,5,0.07877866372961778,0.03601102289792099,0.1063974016618477,4.648397947345624,3.3452305763237433e-06,20,4659,78778663729.6177815har_rv,naive_rw,qlike,15,-0.14099293226631734,-0.16883940967707012,-0.1176879353701678,-12.98573997301607,0.0,40,4659,-140992932266.3173516har_rv,naive_rw,qlike,30,-0.13394448504861814,-0.16908299713071415,-0.09903514308356441,-10.360812960196592,0.0,60,4659,-133944485048.6181517har_rv,naive_rw,qlike,60,-0.12560029461854977,-0.1640309980318788,-0.08621450839450666,-8.046276960301377,8.881784197001252e-16,120,4659,-125600294618.5497718lightgbm,naive_rw,qlike,5,0.8078026008642377,0.05688847905488702,2.191404511595178,1.4067264317936579,0.1595085248411141,20,4659,807802600864.237819lightgbm,naive_rw,qlike,15,-0.12012831272926507,-0.15907709248601182,-0.07793787084925602,-7.26478478077249,3.737010700888277e-13,40,4659,-120128312729.2650820lightgbm,naive_rw,qlike,30,-0.12181626304741967,-0.16911381429641362,-0.07075198700365315,-7.116778199739162,1.1048939541069558e-12,60,4659,-121816263047.4196821lightgbm,naive_rw,qlike,60,-0.11572312577415506,-0.1655188234364296,-0.062251551585328656,-6.042210260888119,1.520171766244971e-09,120,4659,-115723125774.1550622mlp,naive_rw,qlike,5,-0.13608727182964572,-0.15967375285666063,-0.11361175876160366,-13.156231495077742,0.0,20,4659,-136087271829.6457223mlp,naive_rw,qlike,15,-0.13379373428123775,-0.16104244548339383,-0.10979944461012157,-13.58682668832332,0.0,40,4659,-133793734281.2377624mlp,naive_rw,qlike,30,-0.13042336995340287,-0.16367550659862276,-0.09953631162532708,-11.232272124274518,0.0,60,4659,-130423369953.4028825mlp,naive_rw,qlike,60,-0.12126414938724402,-0.15831602249388058,-0.08394633541568518,-8.077921714520265,6.661338147750939e-16,120,4659,-121264149387.2440226mrpt_small_1m_only,naive_rw,qlike,5,-0.13769052086011913,-0.1721535865185959,-0.11222785692564327,-11.49383927999762,0.0,20,4659,-137690520860.1191427mrpt_small_1m_only,naive_rw,qlike,15,-0.13594106578801232,-0.1644145351382927,-0.11234938863276407,-13.161068629811313,0.0,40,4659,-135941065788.0123328mrpt_small_1m_only,naive_rw,qlike,30,-0.1290314615189746,-0.16046017041502236,-0.10009721584646512,-11.425886944874772,0.0,60,4659,-129031461518.9746129mrpt_small_1m_only,naive_rw,qlike,60,-0.12091461273483053,-0.1561277687394335,-0.08623665439433155,-8.287770325396394,2.220446049250313e-16,120,4659,-120914612734.8305430mrpt_small,naive_rw,qlike,5,-0.14426818050181942,-0.17914327060353363,-0.11900076005813125,-11.76890960966576,0.0,20,4659,-144268180501.8194331mrpt_small,naive_rw,qlike,15,-0.1416153710151833,-0.17001394194571515,-0.11831336154584288,-13.424456543551136,0.0,40,4659,-141615371015.183332mrpt_small,naive_rw,qlike,30,-0.13449231005232196,-0.16542297028720176,-0.10703070763390363,-12.089112942936932,0.0,60,4659,-134492310052.3219633mrpt_small,naive_rw,qlike,60,-0.12662443344111063,-0.16089860357857128,-0.09440313524443743,-9.1623478866339,0.0,120,4659,-126624433441.1106334ridge,naive_rw,qlike,5,-0.029457138701410018,-0.07463182318122255,0.012739796688975463,-1.4427841196697584,0.1490812939944619,20,4659,-29457138701.4100235ridge,naive_rw,qlike,15,-0.1407864603011402,-0.1723680254033202,-0.11078308924523682,-11.741127916328942,0.0,40,4659,-140786460301.140236ridge,naive_rw,qlike,30,-0.138500721379,-0.17849910372890523,-0.09900384604989182,-9.939004069756518,0.0,60,4659,-138500721379.037ridge,naive_rw,qlike,60,-0.1352196859690826,-0.17766895853826745,-0.09200788740409424,-8.294846106409057,0.0,120,4659,-135219685969.082638seasonal_vol,naive_rw,qlike,5,-0.06631047621301961,-0.09725462426795953,-0.036818789731020346,-3.7477775171813725,0.0001784083940583603,20,4659,-66310476213.0196139seasonal_vol,naive_rw,qlike,15,-0.09798545943930168,-0.12808377218328243,-0.06849934712814569,-6.674971927053228,2.4727997427476112e-11,40,4659,-97985459439.3016840seasonal_vol,naive_rw,qlike,30,-0.08922777889662269,-0.12993791811582683,-0.046798529739993294,-5.788437866395066,7.104401733570853e-09,60,4659,-89227778896.6226841seasonal_vol,naive_rw,qlike,60,-0.08074565519238527,-0.12576820447239848,-0.03204576967794634,-4.62061843375214,3.825978618365866e-06,120,4659,-80745655192.3852742tcn,naive_rw,qlike,5,-0.13969630443261244,-0.16800065755500918,-0.1177952498038829,-13.304972728756777,0.0,20,4659,-139696304432.6124643tcn,naive_rw,qlike,15,-0.13939960177831862,-0.16517837385191642,-0.11707534604601463,-13.889643841745631,0.0,40,4659,-139399601778.318644tcn,naive_rw,qlike,30,-0.13400649669390513,-0.1649217536440925,-0.1055928440800473,-12.04818251694952,0.0,60,4659,-134006496693.9051445tcn,naive_rw,qlike,60,-0.12492078176605084,-0.15828621611666832,-0.09090934960606417,-8.697946833078932,0.0,120,4659,-124920781766.0508446
Files · main
Menu

Theme