Table 7 ARFIMA–FIEGARCH parameter estimation of models
Parameters | Normal platinum | Student | GED | Skewed student | Normal palladium | Student | GED | Skewed student |
|---|---|---|---|---|---|---|---|---|
\(d_m\) | −0.4668*** | −0.4012*** | −0.3903*** | −0.0488 | −0.1190*** | −0.4738*** | 0.0010 | 0.4776*** |
AR(1) | −0.2576*** | −0.0012 | 0.0300 | 0.4407*** | 0.3981*** | 0.0399 | 0.4509*** | 0.0857* |
MA(1) | 0.3411*** | 0.1230 | 0.0863 | −0.9404*** | −0.9183*** | 0.1032*** | 0.9381*** | 0.0711* |
\(d_v\) | 0.8975*** | 0.9173*** | 0.9173*** | 0.6623*** | 0.2624*** | 0.9061*** | 0.8884*** | 0.9088*** |
ARCH(\(\alpha _1\)) | 1.1344*** | 1.2337*** | 1.2557*** | −0.6664*** | −0.8026*** | −0.3899*** | 0.5881*** | 0.4803*** |
GARCH(\(\beta _1\)) | −0.8946*** | −0.8977*** | −0.9047*** | 0.8725*** | 0.9845 | −0.2092* | 0.0432 | 0.2842*** |
EGARCH(\(\theta _1\)) | 0.0234*** | 0.0645*** | 0.0433*** | 0.0414 | 0.0212 | −0.0092 | 0.0387* | 0.0061 |
EGARCH(\(\theta _2\)) | 0.2187*** | 0.2279*** | 0.2122*** | 0.1367 | 0.4046*** | 0.4426*** | 0.4089*** | 0.3307*** |
Akaike | –2.2483 | –2.2809 | –2.2885 | –2.4602 | −1.1975 | −1.1087 | −1.2389 | −1.1452 |
Schwarz | –2.2358 | –2.2668 | –2.2743 | –2.4413 | −1.1817 | −1.0945 | −1.2216 | −1.1278 |
ARCH-LM | 0.8213 | 14.202*** | 14.175*** | 1.6987 | 4.0757** | 3.5115** | 0.60530 | 2.2058 |