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Table 12 ARFIMA–FIAPARCH 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 0.0036 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