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log-alpha-ElasticNet
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126 lines (108 loc) · 9.31 KB
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***** New Run *****
Execution time: 40.3793139458s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.231681281177214, -4.0750828204844609, -3.889250618977413, -4.0266597722445523, -4.2116843726138375, -4.0263656797364948, -3.4460486151876251, -4.393745210065056, -4.5198280427906985, -3.9297396879297386, -3.8758910343434105, -3.9606364467352884, -4.318076097306542, -4.6098726403289136, -4.1850207013519096, -4.372079278417651, -4.5878792588220723]
Error: 0.0956871213626
***** New Run *****
Execution time: 34.6109120846s
Regressions days:10
Alpha: 0.005
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.247327707383616, -4.0721341909944559, -3.8996590959953283, -4.0335097860816287, -4.2256679351826412, -4.0334504796925454, -3.4732539141828056, -4.3989856745742095, -4.5259062003957284, -3.9302023636172612, -3.8820004254496534, -3.9619471227492276, -4.3240087817215684, -4.5998053316054035, -4.1647804830592854, -4.3750066133176233, -4.58189970622964]
Error: 0.0949648175174
***** New Run *****
Execution time: 33.3647518158s
Regressions days:10
Alpha: 0.01
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2407440810556718, -4.0674320157242549, -3.89893750884054, -4.0300047235425334, -4.2181924802942659, -4.0302115015370195, -3.4829193474409639, -4.3858028391043282, -4.514671775407419, -3.9293802119462562, -3.8802137475091545, -3.9616958308101213, -4.3140137987498104, -4.5935912784064241, -4.1581268287481814, -4.3682335413723186, -4.5664286598497634]
Error: 0.0952400100191
***** New Run *****
Execution time: 29.3769948483s
Regressions days:10
Alpha: 0.05
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.181409163464485, -4.0630104247853156, -3.9123549681361127, -3.9963085897459245, -4.2309322323984073, -3.9986255284505963, -3.5656562337450239, -4.2928526286760329, -4.4084701330427816, -3.9582048816052033, -3.8915237009341501, -3.973289080201825, -4.2467910735923597, -4.5593790098302849, -4.1306878562476408, -4.2966108639336644, -4.4733618408214433]
Error: 0.103446939644
***** New Run *****
Execution time: 28.9346649647s
Regressions days:10
Alpha: 0.1
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.1004440486095985, -4.05133433176763, -3.9183530955686106, -3.9495823929120735, -4.2526234257118389, -3.954368163091559, -3.6385264193090054, -4.1926234986696107, -4.3001085138137425, -3.9815257220734157, -3.9005729751764373, -3.9643380239841126, -4.1817932417229011, -4.5117135687794985, -4.0958629068924068, -4.2155230301806377, -4.3755261580008318]
Error: 0.119693214797
***** New Run *****
Execution time: 26.9998040199s
Regressions days:10
Alpha: 0.5
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-3.8387908567346125, -3.9684028823074211, -3.9288100294299402, -3.8250727040378112, -4.3496206342613224, -3.837153980438623, -3.8609380503020816, -3.8210686819643906, -3.9780878458974689, -4.0846888330049662, -3.8969188623462361, -3.9301121902419167, -3.9666583421600929, -4.3230235814351552, -4.0605959155952398, -3.9582884143345223, -4.0532921746630528]
Error: 0.226065755617
***** New Run *****
Execution time: 26.9183290005s
Regressions days:10
Alpha: 1.0
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-3.8374710936485625, -3.9549007656475053, -3.922971785518734, -3.8326784029328533, -4.3232659104127533, -3.8443623970527319, -3.8634556434617484, -3.8174184542867282, -3.9560156697283397, -4.0729721340671192, -3.8920451469544557, -3.9222872623521243, -3.9526555502079397, -4.2412114744758096, -4.0265438352321175, -3.9428164151126688, -4.0140729333667737]
Error: 0.234308587549
***** New Run *****
Execution time: 11.5127019882s
Regressions days:10
Alpha: 5.0
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-3.8516121184898369, -3.9489126950321713, -3.9282005933388691, -3.85843542938807, -4.1831528306221246, -3.8694624177318979, -3.8817422194718643, -3.828894799417855, -3.9358486532889549, -4.0300685521761803, -3.8983733414742643, -3.9252900370212069, -3.9421561586345568, -4.1311466325470789, -3.9905205977621869, -3.9331618454681574, -3.9677108996067116]
Error: 0.237355431197
***** New Run *****
Execution time: 10.9798750877s
Regressions days:10
Alpha: 10.0
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-3.8722807374564954, -3.953886876039733, -3.9410664643116493, -3.8863546209411086, -4.0175030467954809, -3.8968674107543344, -3.9044408963406481, -3.8480939980633848, -3.9296079455198951, -3.9825245186665583, -3.9117089673841621, -3.9370257533154778, -3.9414322163497597, -4.059676982865235, -3.9742221567800904, -3.9349475364988438, -3.9426667375300917]
Error: 0.236337891937