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Table 6 ARFIMA–FIGARCH parameter estimation of models

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
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***
  1. *, ** and *** represent the significant level at 10, 5 and 1% levels respectively