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

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Table 5 Platinum and palladium log squared returns LM tests

Method	Hurst	Standard error	t value	P value
Platinum log squared returns
Aggregated variance method	0.9358 (0.4358)	0.0421	22.2319	<0.0001
Differenced aggregated variances	1.1907 (0.6907)	0.1813	6.5684	<0.0001
Aggregated absolute value method	0.9909 (0.4909)	0.0253	39.2360	<0.0001
Higuchi method	0.9739 (0.4739)	0.0358	27.1544	<0.0001
Peng method	0.6836 (0.1836)	0.1127	6.0681	<0.0001
R/S method	0.6667 (0.1667)	0.0754	8.8486	<0.0001
Periodogram method (GPH)	0.9665 (0.4665)	0.0382	25.2618	<0.0001
Boxed (modified) periodogram method	0.8313 (0.3313)	0.0463	17.9453	<0.0001
Wavelet estimator	0.5248 (0.0248)	0.1005	5.2199	0.0034
Whittle estimator	0.6080 (0.1080)	0.0089	68.2000	<0.0001
Palladium log squared returns
Aggregated variance method	0.9340 (0.4340)	0.0606	15.4258	<0.0001
Differenced aggregated variances	0.9175 (0.4175)	0.1656	5.5416	<0.0001
Aggregated absolute value method	0.9625 (0.4625)	0.0342	28.1158	<0.0001
Higuchi method	0.9754 (0.4754)	0.0380	25.6083	<0.0001
Peng method	0.5451 (0.0451)	0.1256	4.3386	<0.0001
R/S method	0.4038 (−0.0962)	0.1471	2.7450	0.0087
Periodogram method (GPH)	0.9103 (0.4103)	0.0384	23.7393	<0.0001
Boxed (modified) periodogram method	0.7707 (0.2707)	0.0448	17.2098	<0.0001
Wavelet estimator	0.6145 (0.1145)	0.1510	4.0691	0.0096
Whittle estimator	0.5779 (0.0779)	0.0088	65.4000	<0.0001