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Table 5 Platinum and palladium log squared returns LM tests

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

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