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)

Note: , , and are significant at 10, 5, and 1% levels, respectively; values are in parentheses.

(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)

Note: , and are significant at 10, 5 and 1% levels, respectively; -values are in parentheses.