Related Experiment Video
Updated: Mar 9, 2026

A Method of Trigonometric Modelling of Seasonal Variation Demonstrated with Multiple Sclerosis Relapse Data
Published on: December 9, 2015
Long memory mean and volatility models of platinum and palladium price return series under heavy tailed distributions
Edmore Ranganai1, Sihle Basil Kubheka1
1Department of Statistics, University of South Africa, Cnr Christiaan de Wet and Pioneer Avenue, Florida Park, Roodepoort, 1710 South Africa.
Abstract:
South Africa is a cornucopia of the platinum group metals particularly platinum and palladium. These metals have many unique physical and chemical characteristics which render them indispensable to technology and industry, the markets and the medical field. In this paper we carry out a holistic investigation on long memory (LM), structural breaks and stylized facts in platinum and palladium return and volatility series. To investigate LM we employed a wide range of methods based on time domain, Fourier and wavelet based techniques while we attend to the dual LM phenomenon using ARFIMA-FIGARCH type models, namely FIGARCH, ARFIMA-FIEGARCH, ARFIMA-FIAPARCH and ARFIMA-HYGARCH models. Our results suggests that platinum and palladium returns are mean reverting while volatility exhibited strong LM. Using the Akaike information criterion (AIC) the ARFIMA-FIAPARCH model under the Student distribution was adjudged to be the best model in the case of platinum returns although the ARCH-effect was slightly significant while using the Schwarz information criterion (SIC) the ARFIMA-FIAPARCH under the Normal Distribution outperforms all the other models. Further, the ARFIMA-FIEGARCH under the Skewed Student distribution model and ARFIMA-HYGARCH under the Normal distribution models were able to capture the ARCH-effect. In the case of palladium based on both the AIC and SIC, the ARFIMA-FIAPARCH under the GED distribution model is selected although the ARCH-effect was slightly significant. Also, ARFIMA-FIEGARCH under the GED and ARFIMA-HYGARCH under the normal distribution models were able to capture the ARCH-effect. The best models with respect to prediction excluded the ARFIMA-FIGARCH model and were dominated by the ARFIMA-FIAPARCH model under Non-normal error distributions indicating the importance of asymmetry and heavy tailed error distributions.
More Related Videos
08:46Dose Uptake of Platinum- and Ruthenium-based Compound Exposure in Zebrafish by Inductively Coupled Plasma Mass Spectrometry with Broader Applications
Published on: April 21, 2022
10:31Detection and Recovery of Palladium, Gold and Cobalt Metals from the Urban Mine Using Novel Sensors/Adsorbents Designated with Nanoscale Wagon-wheel-shaped Pores
Published on: December 6, 2015
Related Concept Videos
Parametric Survival Analysis: Weibull and Exponential Methods
Weibull Distribution
The Weibull distribution is a flexible model used in parametric survival analysis. It can handle both increasing and decreasing hazard rates, depending on its shape parameter...
Testing a Claim about Standard Deviation
The hypothesis testing for the claim of population standard deviation (or variance) requires the data and samples to be random and unbiased. The population distribution also must be normal. There is no specific requirement on the sample size as the estimation is based on the chi-square distribution.
As a first step, the hypothesis (null and alternative) concerning the claim about...
Regression Toward the Mean
Noncompartmental Analysis: Statistical Moment Theory
Estimating Population Mean with Known Standard Deviation
The confidence interval estimate will have the form as follows:
(point estimate - error bound, point estimate +...
Residual Plots
When the residual values are plotted against the variable x, it is called a residual...