Research Article
Do Scarce Precious Metals Equate to Safe Harbor Investments? The Case of Platinum and Palladium
Table 3
(a) Lagged innovations and volatility asymmetry in platinum prices. (b) Lagged innovations and volatility asymmetry in palladium prices.
(a) |
| Fractional integration models | Mean equation | Conditional variance equation | | | | | | | |
| ARFIMA-GARCH | 0.020 (0.011) | −0.020 (0.908) | 0.116 (0.469) | 0.0111 (0.005) | 0.116 (0.000) | 0.878 (0.000) | | ARFIMA-APARCH | 0.025 (0.001) | −0.018 (0.916) | 0.110 (0.478) | 0.013 (0.012) | 0.121 (0.000) | 0.889 (0.000) | 1.488 (0.000) | ARFIMA-FIGARCH | 0.0181 (0.022) | −0.063 (0.751) | 0.150 (0.412) | 0.021 (0.006) | 0.306 (0.001) | 0.535 (0.000) | | ARFIMA-FIAPARCH | 0.020 (0.009) | −0.069 (0.725) | 0.157 (0.390) | 0.018 (0.052) | 0.307 (0.001) | 0.532 (0.000) | 2.033 (0.000) |
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Note: , , and are significant at 10, 5, and 1% levels, respectively; values are in parentheses.
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(b) |
| Fractional integration models | Mean equation | Conditional variance equation | | | | | | | |
| ARFIMA-GARCH | 0.010 (0.015) | 0.107 (0.605) | −0.019 (0.921) | 0.003 (0.012) | 0.095 (0.000) | 0.900 (0.000) | | ARFIMA-APARCH | 0.015 (0.001) | 0.068 (0.746) | 0.014 (0.943) | 0.005 (0.010) | 0.103 (0.000) | 0.907 (0.000) | 1.442 (0.000) | ARFIMA-FIGARCH |
0.012 (0.006) | 0.151 (0.431) | −0.063 (0.720) | 0.007 (0.030) | 0.309 (0.000) | 0.629 (0.000) | | ARFIMA-FIAPARCH | 0.015 (0.001) | 0.153 (0.402) | −0.065 (0.700) | 0.010 (0.040) | 0.290 (0.000) | 0.658 (0.000) | 1.880 (0.000) |
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Note: , and are significant at 10, 5 and 1% levels, respectively; -values are in parentheses.
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