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

Table 7

Prediction performance of DGRNN models (train_ratio = 0.75).

	SAM-DJANET	DJANET	SAM-DGRU	DGRU	SAM-DLSTM	DLSTM
MAE	3.031	6.202	3.924	7.747	7.056	10.560
DM	2.977		2.635		2.472
MAPE	0.026	0.058	0.032	0.067	0.063	0.086
DM	3.063		2.894		2.117
RSR	0.311	0.452	0.380	0.602	0.477	0.790
SDAPE	0.022	0.032	0.025	0.046	0.034	0.053