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

Table 6

Bivariate GARCH model comparison under Student’s t distribution for covolatility of coffee and oil returns.

Statistics	Realized volatility measure
	Weekly return square			High frequency
	CCC	DCC	VCC	CCC	DCC	VCC
MZ.reg.R2	0.0937	0.0747	0.060	0.2372	0.1614	0.4014
MSE	29.36	29.99	29.28	0.7876	0.8877	0.8634
RMSE	5.4184	5.4763	5.4110	0.8874	0.9421	0.9291
MAE	3.7953	3.7532	3.742	0.8819	0.8423	0.8372
AIC	4945.74	4940.492	4943.54	4945.74	4943.54	4940.492
BIC	5002.24	5005.677	5008.725	5002.24	5005.677	5008.725
LL	−2459.84	−2455.24	−2456.77	−2459.84	−2455.24	−2456.77