Forecasting the Covolatility of Coffee Arabica and Crude Oil Prices: A Multivariate GARCH Approach with High-Frequency Data

<table class="table-group" id="tab4"><tr><td><table class="table"><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr class="thead"><td class="align_left">Series</td><td class="align_center">Obs<svg height="10.1524pt" id="M131" style="vertical-align:-0.04990005pt" version="1.1" viewbox="-0.0498162 -10.1025 6.17869 10.1524" width="6.17869pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0091,0,0,-0.0091,0,-5.741)"><path d="M486 158C486 177 478 202 466 220C413 228 386 236 336 262C386 288 413 297 466 304C478 323 486 347 485 366C470 376 444 381 422 380C389 338 368 319 321 288C323 345 329 372 349 422C339 442 322 461 305 470C289 461 271 442 262 422C281 372 287 345 290 288C243 319 222 338 189 380C167 381 142 376 125 366C125 347 133 322 145 304C198 296 225 288 275 262C225 236 198 227 145 220C133 201 125 177 126 158C141 148 167 143 189 144C222 186 243 205 290 236C288 179 282 152 262 102C272 82 289 63 306 54C322 63 340 82 350 102C330 152 324 179 321 236C368 205 390 186 422 144C444 143 470 148 486 158Z"></path></g></svg> <svg height="11.7978pt" id="M132" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 13.2276 11.7978" width="13.2276pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M610 18C585 26 567 34 540 68C517 97 499 128 476 171C452 215 425 276 413 304C496 332 570 394 570 494C570 555 545 595 509 619S419 650 364 650H139L133 622C216 615 219 612 203 527L129 132C112 40 105 36 23 28L17 0H279L285 28C199 34 194 40 211 132L239 284H284C320 284 334 275 351 236C374 182 394 140 420 93C459 23 495 -1 592 -8H600L610 18ZM480 485C480 424 449 372 403 342C374 323 338 316 293 316H245L291 562C296 589 301 601 311 608S337 618 358 618C432 618 480 575 480 485Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,8.151,-5.741)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg></td><td class="align_center"><svg height="15.2296pt" id="M133" style="vertical-align:-3.6382pt" version="1.1" viewbox="-0.0498162 -11.5914 12.6404 15.2296" width="12.6404pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M565 434L556 448L482 423L322 189L287 373C280 410 261 448 236 448C207 448 161 415 110 338L131 317C160 355 181 374 193 374C204 374 208 366 217 330C230 279 247 185 259 116L50 -175C18 -223 29 -260 41 -278H51C97 -198 207 -33 270 57L313 -165C328 -235 349 -261 376 -261S445 -244 510 -150L487 -127C444 -178 423 -186 411 -186C402 -186 398 -177 387 -130C371 -62 349 39 332 135C390 217 524 392 565 434Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.568,-5.741)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg> (4)</td><td class="align_center">Lag (<span class="nowrap"><svg height="10.2124pt" id="M134" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -6.78297 7.83752 10.2124" width="7.83752pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M570 304C570 398 525 448 414 448C385 448 343 445 312 434L329 511L321 518C297 504 262 482 244 460L233 411C195 397 159 381 128 358L135 332C160 347 189 360 224 373L111 -147C97 -210 84 -218 17 -231L13 -257L254 -247L259 -218L233 -216C183 -212 177 -202 189 -142L218 -1C238 -10 266 -12 283 -12C351 3 429 48 483 105C543 168 570 242 570 304ZM482 289C482 161 380 33 304 33C278 33 248 51 233 69L303 396C326 400 352 403 369 403C428 403 482 380 482 289Z"></path></g></svg>)</span></td><td class="align_center">Prob.</td></tr><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr><td class="align_left">Arabica coffee</td><td class="align_center">12.6477</td><td class="align_center">9.488</td><td class="align_center">4</td><td class="align_center">0.004</td></tr><tr><td class="align_left">Crude oil</td><td class="align_center">105.6419</td><td class="align_center">9.488</td><td class="align_center">4</td><td class="align_center">0.001</td></tr><tr class="table-tr"><td colspan="5"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>ARCH LM test summary statistics.</div>

Journal of Probability and Statistics

tab4

Table 4

Table 4: Forecasting the Covolatility of Coffee Arabica and Crude Oil Prices: A Multivariate GARCH Approach with High-Frequency Data 