Table 3.
Single-step forecast errors for ARIMAX, RF Regressor, LSTM, the benchmark GAN, and our GAN architecture.
| Single-step forecasts | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Stock | Metrics | ARIMAX-SVR | RF Regressor | LSTM | Benchmark GAN | Our GAN | ||||
| (p,d,q) | Results | Results | Lags | Results | Lags | Results | Lags | Results | ||
| ATL | RMSE | (5,1,0) | 0.990 | 0.814 (0.060) | 2 | 0.763 (0.015) | 2 | 0.890 (0.120) | 2 | 0.631 (0.043) |
| MAE | 0.820 | 0.543 (0.022) | 0.501 (0.011) | 0.694 (0.118) | 0.416 (0.029) | |||||
| MAPE | 4.871 | 3.034 (0.177) | 2.779 (0.052) | 3.821 (0.829) | 2.294 (0.134) | |||||
| AZM | RMSE | (5,1,0) | 0.663 | 0.633 (0.084) | 2 | 0.582 (0.004) | 2 | 0.895 (0.149) | 2 | 0.541 (0.011) |
| MAE | 0.530 | 0.460 (0.053) | 0.403 (0.004) | 0.788 (0.150) | 0.347 (0.003) | |||||
| MAPE | 3.544 | 2.900 (0.329) | 2.603 (0.035) | 5.306 (1.050) | 2.329 (0.028) | |||||
| BZU | RMSE | (4,1,0) | 0.899 | 0.639 (0.038) | 2 | 0.578 (0.006) | 2 | 0.700 (0.106) | 2 | 0.506 (0.008) |
| MAE | 0.796 | 0.479 (0.023) | 0.426 (0.006) | 0.560 (0.124) | 0.366 (0.006) | |||||
| MAPE | 4.128 | 2.496 (0.117) | 2.225 (0.032) | 2.951 (0.629) | 1.911 (0.030) | |||||
| ENEL | RMSE | (2,1,0) | 0.427 | 0.467 (0.022) | 2 | 0.266 (0.023) | 2 | 0.352 (0.097) | 2 | 0.180 (0.013) |
| MAE | 0.313 | 0.274 (0.021) | 0.179 (0.017) | 0.179 (0.017) | 0.120 (0.011) | |||||
| MAPE | 4.488 | 3.582 (0.017) | 2.605 (0.213) | 4.863 (0.635) | 1.797 (0.150) | |||||
| ENI | RMSE | (1,1,0) | 1.390 | 1.874 (0.016) | 2 | 1.231 (0.064) | 2 | 1.093 (0.260) | 2 | 0.391 (0.073) |
| MAE | 1.124 | 1.152 (0.014) | 0.838 (0.033) | 0.951 (0.258) | 0.280 (0.059) | |||||
| MAPE | 11.194 | 13.839 (0.144) | 9.568 (0.441) | 8.372 (2.065) | 2.688 (0.620) | |||||
| EXO | RMSE | (1,1,0) | 3.533 | 4.410 (0.014) | 2 | 2.662 (0.186) | 2 | 2.749 (0.636) | 2 | 1.930 (0.113) |
| MAE | 2.635 | 2.828 (0.011) | 1.945 (0.136) | 2.250 (0.565) | 1.403 (0.132) | |||||
| MAPE | 4.719 | 4.438 (0.028) | 3.315 (0.214) | 3.907 (0.975) | 2.454 (0.227) | |||||
| G | RMSE | (5,1,0) | 0.458 | 0.400 (0.022) | 2 | 0.390 (0.005) | 2 | 0.448 (0.168) | 2 | 0.319 (0.020) |
| MAE | 0.324 | 0.283 (0.010) | 0.276 (0.007) | 0.344 (0.157) | 0.227 (0.019) | |||||
| MAPE | 2.181 | 1.910 (0.069) | 1.888 (0.042) | 2.314 (1.013) | 1.548 (0.127) | |||||
| IP | RMSE | (1,1,0) | 1.449 | 4.326 (0.012) | 2 | 1.464 (0.010) | 2 | 1.368 (0.193) | 2 | 1.098 (0.205) |
| MAE | 1.096 | 2.179 (0.043) | 1.015 (0.074) | 1.078 (0.170) | 0.800 (0.124) | |||||
| MAPE | 3.795 | 5.896 (0.074) | 3.286 (0.267) | 3.607 (0.663) | 2.662 (0.330) | |||||
| MB | RMSE | (5,1,0) | 0.305 | 0.289 (0.009) | 2 | 0.282 (0.002) | 2 | 0.352 (0.107) | 2 | 0.225 (0.003) |
| MAE | 0.240 | 0.212 (0.004) | 0.200 (0.003) | 0.283 (0.108) | 0.164 (0.002) | |||||
| MAPE | 3.183 | 2.654 (0.081) | 2.624 (0.028) | 3.760 (1.485) | 2.146 (0.028) | |||||
| REC | RMSE | (2,1,0) | 2.544 | 2.723 (0.014) | 2 | 1.843 (0.122) | 2 | 1.631 (0.452) | 2 | 1.029 (0.132) |
| MAE | 2.223 | 1.725 (0.014) | 1.384 (0.092) | 1.250 (0.369) | 0.754 (0.130) | |||||
| MAPE | 6.231 | 4.066 (0.093) | 3.559 (0.226) | 3.296 (0.966) | 1.999 (0.328) | |||||
Text in bold denotes the best results (95% confidence level).