This is the DLC with Yuffie but the technique is the same with the other characters in the base game.

Characters like Yuffie and Tifa are fast, so they have the most forgiving timing windows for dodging this attack. Cloud's speed is average and he can still dodge both strikes. Aerith and Barret are both slow and have much tighter timing windows for dodging here. I don't control either of them very often but I can confirm that you can dodge at least the initial strike since I've done it with both characters. I suspect that you can dodge the second strike with them as well but it requires more precision.

Also, you don't have to dodge left and then right like I did. I do it that way but I've seen others dodge the same direction both times. And I'm also not sure it's necessary to gain distance from Bahamut before he throws the attack, but I find it easier to get the timing right when I can see the attack coming from further away.

Final Fantasy VII Remake Intergrade - INTERmission DLC