Research Article
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 |
|
|