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Table 10 ARFIMA–FIGARCH forecast evaluation

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

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