Associated Analysis of Two Exchange Rate Market Volatility with two Factors of Japan and European Dollars: Empirical Study of Taiwan and Koreas Exchange Rate Markets
This paper uses the Taiwans and Koreas exchange rates of material from January, 2004 to December, 2009, discussing the model construction and. their associations of between Taiwans and Koreas exchange rate markets. The empirical results show that the mutual affects of the Taiwans and the Koreas .exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows- that between Taiwans and Koreas exchange rate markets exists the positive relations- namely two exchange rate market returns volatility are synchronized influence, the average estimation value of the DCC coefficient of two exchange rate markets equals to 0.4661. The Japans and the Europeans exchange rate volatilities will also affect the variation risk of the Taiwans and the Koreas exchange rate markets.. Also, Taiwans and Koreas exchange rate markets do not have the asymmetrical effect in the research data period.
exchange rate market DCC bivariate IGARCH model Students t distribution asymmetrical effect
Wann-Jyi Horng Jui-Chen Chang
Department of Hospital and Health Care Administration Chia Nan University of Pharmacy & Scienc Taina Department of Finance & Institute of Financial Management Nanhua University Chia-Yi ,Taiwan
国际会议
重庆
英文
32-36
2011-08-20（万方平台首次上网日期，不代表论文的发表时间）