Skip to main content

Advertisement

Table 3 Test results of platinum squared returns

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

m \(\hat{d}\) \(\hat{d_2}\) \(\hat{d_4}\) \(W_2\) \(W_4\) KPSS P value (KPSS)
500 0.0125 0.0095 −0.0494 0.6151 5.6580 0.0077 0.1000
1000 0.1275 0.0125 0.0095 7.9680 19.4500 0.0184 0.1000
1500 0.0763 −0.0016 0.0091 0.0001 10.9500 0.0185 0.1000
2000 0.0781 0.1275 0.0125 22.6700 31.5300 0.0089 0.1000
2500 0.0670 0.1156 0.0120 38.5800 15.0100 0.0077 0.1000
3000 0.0722 0.0763 −0.0016 3.0550 11.5700 0.0131 0.1000
3500 0.0672 0.1054 0.1547 16.3000 46.6100 0.0250 0.1000
4000 0.1085 0.0781 0.1275 2.8320 30.0600 0.0093 0.1000
4500 0.1076 0.0712 0.1175 5.3880 33.0400 0.0153 0.1000
5000 0.1076 0.0670 0.1156 8.0600 53.4300 0.0145 0.1000