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

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Table 12 ARFIMA–FIAPARCH forecast evaluation

Parameters	Normal platinum	Student	GED	Skewed student	Normal palladium	Student	GED	Skewed student
MSE	0.0003	0.0003	0.0003	0.0003	0.0036	0.0037	0.0038	0.0037
MAE	0.0081	0.0081	0.0082	0.0087	0.0257	0.0255	0.0255	0.0255
TIC	0.6699	0.6721	0.6727	0.6384	0.6186	0.6383	0.6475	0.6369
Alpha (MZ)	0.0004	0.0005	0.0005	−0.0009	−0.0034	−0.0036	−0.0032	−0.0036
Beta (MZ)	1.2716	1.2550	1.2415	1.1667	1.3477	1.4073	1.4054	1.4052
\(R^2\) (MZ)	0.0634	0.0584	0.0554	0.0510	0.1587	0.1401	0.1270	0.1416