I read about Just-in-time compilation (JIT) and as I understood, there are two approaches for this – Interpreter and JIT, both of which interpreting the bytecode at runtime.
Why not just preparatively interprete all the bytecode to machine code, and only then start to run the process with no more need for interpreter?
Simple: Because it takes time to precompile everything to machine code. And users don't want to wait on the application to start. Remember, the precompilation would have to make a lot of optimizations which takes time.
The server version of JVM is more aggressive in precompiling and optimizing code upfront because code on the server side tends to be executed more often and for a longer period of time before the process is shutdown.
However, a solution (for .Net) is an application called NGen which make the precompilation upfront such that it isn't needed after that point. You only have to run that once.
Not all VM's include an interpreter. For instance Chrome and CLR (.Net) always compiles to machine code before running. However, they have multiple levels of optimizations to reduce the startup time.