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Table 7 ARFIMA–FIEGARCH 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
\(d_m\) −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
  1. *, ** and *** represent the significant level at 10, 5 and 1% levels respectively