Application of Neural Network with Autocorrelation in Long-Term Forecasting of Systemic Financial Risk

Table 4

Prediction results based on the predictor.

Model		Autoformer		Transformer		DeepAR		LSTM		ARIMA
Metrics		MSE	MAE	MSE	MSE	MAE	MAE	MSE	MAE	MSE	MAE
Prediction length	1	0.0498	0.1883	0.0702	0.2166	0.0885	0.2262	0.2561	0.4354	0.1903	0.3630
	3	0.0503	0.1946	0.0782	0.2260	0.0976	0.2525	0.2599	0.4269	0.2076	0.3360
	6	0.0527	0.1991	0.1019	0.2651	0.1734	0.3230	0.2293	0.4074	0.2207	0.3391
	9	0.0850	0.2468	0.1778	0.3228	0.2263	0.3796	0.4464	0.5174	0.2797	0.4176