Table 6.
Train-test split results for one stock (EXO).
| Train-test split | Metrics | ARIMAX-SVR | RF regressor | LSTM | Benchmark GAN | Our GAN |
|---|---|---|---|---|---|---|
| Single-step forecast results on EXO | ||||||
| 60–40 | RMSE | 6.001 | 20.838 (0.012) | 12.237 (0.050) | 21.225 (2.372) | 19.987 (1.865) |
| MAE | 4.942 | 17.667 (0.013) | 9.941 (0.061) | 18.738 (2.695) | 16.912 (1.860) | |
| MAPE | 9.468 | 31.865 (0.025) | 17.776 (0.142) | 62.149 (8.831) | 54.734 (4.003) | |
| 70–30 | RMSE | 8.121 | 12.290 (0.020) | 4.562 (0.775) | 4.419 (1.831) | 3.936 (0.923) |
| MAE | 7.188 | 9.606 (0.011) | 3.154 (0.584) | 3.794 (1.495) | 2.783 (0.728) | |
| MAPE | 12.904 | 15.895 (0.029) | 5.235 (0.930) | 7.286 (2.951) | 4.415 (1.000) | |
| 80–20 | RMSE | 3.533 | 4.410 (0.014) | 2.662 (0.186) | 2.749 (0.636) | 1.929 (0.112) |
| MAE | 2.635 | 2.828 (0.011) | 1.945 (0.136) | 2.250 (0.564) | 1.402 (0.132) | |
| MAPE | 4.719 | 4.438 (0.028) | 3.315 (0.214) | 3.906 (0.975) | 2.454 (0.226) | |
| Multi-step forecast results on EXO | ||||||
| 60–40 | RMSE | 17.744 | 21.419 (0.008) | 12.931 (0.039) | 21.718 (2.617) | 20.446 (0.665) |
| MAE | 15.593 | 18.334 (0.009) | 10.415 (0.047) | 19.722 (2.807) | 17.553 (0.817) | |
| MAPE | 28.859 | 33.269 (0.018) | 18.541 (0.105) | 64.813 (15.432) | 53.491 (3.809) | |
| 70–30 | RMSE | 17.968 | 12.717 (0.018) | 6.098 (0.084) | 8.930 (3.041) | 4.135 (0.813) |
| MAE | 16.006 | 10.143 (0.013) | 4.368 (0.086) | 7.073 (2.595) | 3.285 (0.835) | |
| MAPE | 27.758 | 16.953 (0.025) | 7.254 (0.146) | 12.863 (4.591) | 6.131 (1.730) | |
| 80–20 | RMSE | 5.201 | 4.840 (0.013) | 4.116 (0.713) | 5.721 (1.043) | 2.955 (0.218) |
| MAE | 3.691 | 3.363 (0.013) | 3.047 (0.030) | 4.776 (0.869) | 2.264 (0.258) | |
| MAPE | 6.664 | 5.461 (0.022) | 5.195 (0.034) | 9.060 (1.909) | 3.977 (0.461) | |
Text in bold denotes the best performance (99% confidence level).