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