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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