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

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Table 9 ARFIMA–HYGARCH parameter estimation of models

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***

*, ** and *** represent the significant level at 10, 5 and 1% levels respectively