Skip to main content

Advertisement

Table 11 ARFIMA–FIEGARCH 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 0.0004 0.0004 0.0004 0.0004 0.0037 0.0043 0.0037 0.0039
MAE 0.0097 0.0115 0.0107 0.0085 0.0260 0.0362 0.0284 0.0327
TIC 0.6012 0.5626 0.5773 0.6657 0.5460 0.5479 0.5959 0.5725
Alpha (MZ) 0.0034 0.0035 0.0037 0.0028 −0.0005 0.0055 0.0026 0.0019
Beta (MZ) 0.5231 0.3826 0.4132 0.7664 1.2041 0.5204 0.8858 0.7139
\(R^2\) (MZ) 0.0317 0.0320 0.0307 0.0220 0.1277 0.0832 0.1067 0.0861