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Table 13 ARFIMA–HYGARCH 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 0.0038 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