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

Table 5

Prediction results based on the predictor and covariates indicators.

Model		Autoformer		Transformer		LSTM
Metrics		MSE	MAE	MSE	MAE	MSE	MAE
Prediction length	1	0.1997	0.3047	0.7443	0.6600	2.0166	1.0742
	3	0.2230	0.2417	0.9108	0.7229	2.2230	1.0677
	6	0.2744	0.2718	1.2039	0.7880	2.4971	1.0996
	9	0.3496	0.3739	3.0996	1.3835	2.6220	1.2000