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

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Table 6 ARFIMA–FIGARCH parameter estimation of models

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