|
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
