Long memory mean and volatility models of platinum and palladium price return series under heavy tailed distributions

SpringerPlus

Table 10 ARFIMA–FIGARCH forecast evaluation

Parameters	Normal platinum	Student	GED	Skewed student	Normal palladium	Student	GED	Skewed student
MSE	0.0003	0.0003	0.0003	0.0003	0.0037	0.0037	0.0038	0.0038
MAE	0.0082	0.0082	0.0083	0.0087	0.0256	0.0257	0.0272	0.0269
TIC	0.6515	0.6517	0.6517	0.6331	0.6308	0.6407	0.6356	0.6391
Alpha (MZ)	0.0002	0.0002	0.0002	0.0006	−0.0029	−0.0026	−0.0022	−0.0029
Beta (MZ)	1.2062	1.1974	1.1948	1.0028	1.3566	1.3449	1.1784	1.2280
\(R^2\) (MZ)	0.0689	0.0670	0.0665	0.0551	0.1443	0.1274	0.0972	0.1000