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

Table 5

Bivariate GARCH model comparison under normal distribution for covolatility of coffee and oil returns.

Statistics	Realized volatility measure
	Weekly returns squared			30-minute interval returns(high freq.)
	CCC	DCC	VCC	CCC	DCC	VCC
MZ.reg.R2	0.0145	0.0037	0.0070	0.2575	0.1740	0.3929
MSE	29.2503	29.9553	29.313629	0.7865	0.9161	0.8590
RMSE	5.1442	5.4730	5.4083	0.8868	0.9571	0.9268
MAE	3.7900	3.7452	3.7307	0.879	0.8517	0.8000
AIC	4965.981	4957.583	4962.655	4965.981	4962.655	4957.583
BIC	5022.474	5022.768	5027.84	5022.474	5022.768	5027.84
LL	−2469.99	−2463.79	−2466.32	−2469.99	−2463.79	−2466.32