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

Table 6

Impact of SAM on prediction results

	SAM-DJANET	DJANET	SAM-DGRU	DGRU	SAM-DLSTM	DLSTM
MAE	2.8122	5.6770	3.2107	7.7149	5.8179	8.4230
DM	2.7254		3.2561		2.2883
MAPE	0.0215	0.479	0.0275	0.0635	0.0502	0.0728
DM	3.1083		4.1697		2.1168
RSR	0.3009	0.4198	0.3733	0.5549	0.4311	0.5995
SDAPE	0.0219	0.0316	0.0260	0.0437	0.0322	0.0442
Time (s)	389.65	306.24	494.68	391.04	574.88	471.60