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

Table 8

Prediction performance of DGRNN models (sample = [2015, 2018]).

	SAM-DJANET	DJANET	SAM-DGRU	DGRU	SAM-DLSTM	DLSTM
MAE	2.949	5.942	3.645	7.814	6.879	9.329
DM	2.819		3.108		2.066
MAPE	0.024	0.057	0.030	0.070	0.061	0.079
DM	3.326		2.934		1.947
RSR	0.307	0.451	0.378	0.632	0.468	0.706
SDAPE	0.022	0.031	0.026	0.046	0.033	0.051