A Novel Methodology for Credit Spread Prediction: Depth-Gated Recurrent Neural Network with Self-Attention Mechanism

Table 5

Results of the different lengths of time steps (loss function = “SDAPE”)

	DGRNN
	DJANET	DGRU	DLSTM	DRNN
5	0.0467	0.0593	0.0949	0.1176
20	0.0738	0.1313	0.1321	0.1400
60	0.0783	0.1005	0.1019	0.1105
120	0.0856	0.0836	0.0977	0.1155
180	0.0719	0.0894	0.0925	0.0976