Table 2.
AIC values for three MS-GARCH models with three distribution functions
| Spot markets | Futures markets | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Gold | Silver | Platinum | Palladium | Gold | Silver | Platinum | Palladium | ||
| GARCH | Normal | 13,195.3 | 17,905.8 | 15,569.0 | 18,643.4 | 13,301.1 | 18,065.8 | 15,804.9 | 18,887.7 |
| Student | 13,145.2 | 17,816.9 | 15,513.2 | 18,613.3 | 13,243.9 | 17,988.2 | 15,794.7 | 18,833.4 | |
| GED | 13,154.9 | 17,812.2 | 15,519.0 | 18,609.8 | 13,270.0 | 18,000.6 | 15,799.0 | 18,852.8 | |
| EGARCH | Normal | 13,174.9 | 17,867.3 | 15,548.3 | 18,634.0 | 13,283.0 | 18,042.2 | 15,787.4 | 18,854.9 |
| Student | 13,149.9 | 17,822.3 | 15,516.0 | 18,632.4 | 13,253.1 | 17,998.0 | 15,787.2 | 18,840.7 | |
| GED | 13,145.1 | 17,800.6 | 15,517.2 | 18,648.9 | 13,262.3 | 17,987.2 | 15,789.7 | 18,842.3 | |
| TGARCH | Normal | 13,214.0 | 17,908.1 | 15,558.1 | 18,662.2 | 13,315.6 | 18,067.5 | 15,804.6 | 18,868.1 |
| Student | 13,160.0 | 17,838.2 | 15,535.1 | 18,639.2 | 13,259.3 | 18,008.2 | 15,804.2 | 18,839.9 | |
| GED | 13,162.4 | 18,017.9 | 15,534.3 | 18,650.0 | 13,275.5 | 18,009.6 | NA | 18,848.7 | |
Italic values indicate the lowest AIC number. NA indicates non-converging model