Parameters | Normal platinum | Student | GED | Skewed student | Normal palladium | Student | GED | Skewed student |
---|---|---|---|---|---|---|---|---|
Cst(M) | 0.0001 | 0.0001 | 0.0001 | 0.0003*** | 0.0001 | 0.0001 | 0.0001 | 0.0001 |
\(d_m\) | −0.0793*** | −0.0556 | −0.0410 | −0.5176*** | −0.1001*** | −0.0582*** | −0.00968 | −0.0587** |
AR(1) | 0.3920*** | 0.4053*** | 0.4137*** | 0.1308*** | 0.3884*** | 0.4202*** | 0.4516*** | 0.4186*** |
MA(1) | −0.9327*** | −0.9361*** | −0.9381*** | 0.0687* | −0.9229*** | −0.9306*** | −0.9382*** | −0.9306*** |
Cst(V) | 0.0041 | 0.0043* | 0.0046* | 0.0005 | 0.0106 | 0.0156* | 0.0166* | 0.0150* |
\(d_v\) | 0.6512*** | 0.6462*** | 0.6378*** | 0.6432*** | 0.7306*** | 0.6980*** | 0.6877*** | 0.6987*** |
ARCH(\(\alpha _1\)) | 0.3974*** | 0.3929*** | 0.3919*** | 0.2325*** | 0.3872*** | 0.3703*** | 0.3551*** | 0.3716*** |
GARCH(\(\beta _1\)) | 0.8743*** | 0.8744*** | 0.8718*** | 0.8607*** | 0.9035*** | 0.8973*** | 0.8900*** | 0.8974*** |
APARCH(\(\gamma _1\)) | −0.2928*** | −0.3716*** | −0.4169* | −0.2012* | −0.0863* | −0.0859 | −0.09485 | −0.0914 |
APARCH(\(\delta\)) | 1.8067*** | 1.7569*** | 1.7309*** | 2.0904*** | 1.9933*** | 1.9222*** | 1.9228*** | 1.9234*** |
Akaike | –2.4773 | –2.4783 | –2.4781 | –2.4030 | −1.2420 | −1.2532 | −1.2589 | −1.2533 |
Schwarz | –2.4616 | –2.4610 | –2.4608 | –2.3841 | −1.2262 | −1.2359 | −1.2416 | −1.2344 |
ARCH-LM | 2.2572 | 2.6098* | 2.7374* | 2.8892* | 0.67543 | 3.8257* | 2.6699* | 3.5548** |