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

Table 7

Variance parameter estimates from time-varying conditional correlation (VCC-GARCH) model under t distribution ().

Parameters	Coefficients	z-statistics	-value
	0.1647	1.04	0.300
	0.0305	1.60	0.109
	0.9393	22.16	0.001
	0.0835	1.60	0.109
	0.0774	3.60	0.001
	0.9092	38.48	0.001
	0.2886	1.60	0.001
	0.02919	1.70	0.034
	0.919	15.88	0.001
	0.9698	—	—
	0.9866	—	—