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

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Table 13 ARFIMA–HYGARCH forecast evaluation

Parameters	Normal platinum	Student	GED	Skewed student	Normal palladium	Student	GED	Skewed student
MSE	0.0003	0.0003	0.0003	0.0003	0.0038	0.0038	0.0038	0.0038
MAE	0.0081	0.0088	0.0087	0.0092	0.0268	0.0270	0.0268	0.0271
TIC	0.6581	0.6319	0.6351	0.6152	0.6345	0.6363	0.6403	0.6353
Alpha (MZ)	0.0007	0.0013	0.0013	0.0014	−0.0023	−0.0025	−0.0014	−0.0025
Beta (MZ)	1.2053	0.9064	0.9233	0.8067	1.2148	1.1995	1.1788	1.1942
\(R^2\) (MZ)	0.0737	0.0491	0.0495	0.0470	0.1076	0.0998	0.0966	0.0998