An Impact of the Oil Prices’ Volatility Rate for the U.S. and the Japan’s Stock Markets Return: A DCC and Bivariate Asymmetric-GARCH Model

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Title:	An Impact of the Oil Prices’ Volatility Rate for the U.S. and the Japan’s Stock Markets Return: A DCC and Bivariate Asymmetric-GARCH Model
Authors:	Wann-Jyi Horng Ya-Yu Wang
Contributors:	醫務管理系
Date:	2008-06
Issue Date:	2009-10-12 11:28:04 (UTC+8)
Abstract:	The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relationship of the U.S. and the Japan's stock markets. The empirical result also indicates that the U.S. and the Japan's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.179, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the U.S. and the Japan's stock markets have an asymmetrical effect, and the variation risks of the U.S. and the Japan's stock market returns also receives the influence of the positive and negative of the oil prices' volatility rate.
Relation:	IEEE Computer Society 6(1)： p.269
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Periodical Articles

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