Multivariate CCC MGARCH estimates | ||||
WTI | Corn | Wheat | Soybeans | |
ARCH a | 0.0530 (0.0282) | 0.0528 (0.0182) | 0.0466 (0.0186) | 0.0447 (0.0151) |
GARCH β | 0.9242 (0.0396) | 0.9298 (0.0224) | 0.9400 (0.0235) | 0.9407 (0.0197) |
Correlations | 0.2206 (0.0171) | 0.1798 (0.0173) | 0.2331 (0.0170) | |
0.6256 (0.0111) | 0.6232 (0.0112) | |||
0.4834 (0.0140) | ||||
Log-likelihood | 32729.17 | |||
Test of univariate null | χ2(6) = 3208.68 [<0.0001] | |||
AIC | −65450.34 |