|
Parameters
|
Normal platinum
|
Student
|
GED
|
Skewed student
|
Normal palladium
|
Student
|
GED
|
Skewed student
|
|---|
|
Cst(M)
|
0.0002**
|
0.0001***
|
0.0001**
|
0.0003***
|
0.0001
|
0.0001
| |
0.0002***
|
|
\(d_m\)
|
−0.1027***
|
−0.0893**
|
−0.0838
|
−0.5276***
|
−0.1019***
|
−0.0601*
|
−0.4513***
|
−0.5062***
|
|
AR(1)
|
0.4062***
|
0.4158***
|
0.4193***
|
0.1356***
|
0.3908***
|
0.4217***
|
0.1172***
|
0.0887
|
|
MA(1)
|
−0.9327***
|
−0.9353***
|
−0.9361***
|
0.0699*
|
−0.9225***
|
−0.9302***
|
0.0191
|
0.0818*
|
|
Cst(V)
|
0.0013**
|
0.0011*
|
0.0011*
|
0.0006
|
0.0095
|
0.0104*
|
0.0087***
|
0.0085*
|
|
\(d_v\)
|
0.6492***
|
0.6486***
|
0.6473***
|
0.6545***
|
0.7227***
|
0.7040***
|
0.6419***
|
0.6258***
|
|
ARCH(\(\alpha _1\))
|
0.3686***
|
0.3567***
|
0.3543***
|
0.2138***
|
0.3907***
|
0.3678***
|
0.3088***
|
0.3094***
|
|
GARCH(\(\beta _1\))
|
0.8721***
|
0.8730***
|
0.8720***
|
0.8680***
|
0.9016***
|
0.8986***
|
0.8712***
|
0.8708***
|
|
Akaike
|
–2.4717
|
–2.4720
|
–2.4715
|
–2.4017
|
−1.2415
|
−1.2534
|
−1.1814
|
−1.1740
|
|
Schwarz
|
–2.4591
|
–2.4578
|
–2.4574
|
–2.3860
|
−1.2289
|
−1.2393
|
−1.1688
|
−1.1583
|
|
ARCH-LM
|
4.0565**
|
4.7917***
|
4.6751***
|
4.5570**
|
0.97785
|
4.1599**
|
7.8780***
|
31.069***
|
- *, ** and *** represent the significant level at 10, 5 and 1% levels respectively
