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Table 9 ARFIMA–HYGARCH 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
\(d_m\) −0.0802*** −0.4125*** −0.3947*** −0.4247*** −0.4988*** −0.4660*** −0.4508*** −0.4691***
AR(1) 0.3788*** 0.0254 0.0684 0.0899** −0.3287*** 0.0543 0.1039*** 0.0521
MA(1) −0.9355*** 0.0985* 0.0540 0.0587 0.4119*** 0.0889* 0.0294*** 0.0935***
\(d_v\) 0.8199*** 0.7930*** 0.7968*** 0.7983*** 0.7266*** 0.6475*** 0.6741*** 0.6474***
ARCH(\(\alpha _1\)) 0.2981*** 0.1091*** 0.1086*** 0.0960*** 0.3045*** 0.2995*** 0.2968*** 0.3002***
GARCH(\(\beta _1\)) 0.9142*** 0.909***2 0.9088*** 0.9113*** 0.8925*** 0.8787*** 0.8799*** 0.8790***
Akaike –2.4590 –2.3467 –2.3547 –2.3710 −1.1248 −1.1650 −1.1786 −1.1649
Schwarz –2.4480 –2.3341 –2.3421 –2.3568 −1.1138 −1.1524 −1.1660 −1.1508
ARCH-LM 1.9986 1.4914 0.72470 0.72483 0.064012 28.207*** 5.9269*** 27.107***
  1. *, ** and *** represent the significant level at 10, 5 and 1% levels respectively