韓元與日圓兌美元之匯率波動的動態關聯性與非對稱性分析：雙變數EGARCH模型之應用

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Title:	韓元與日圓兌美元之匯率波動的動態關聯性與非對稱性分析：雙變數EGARCH模型之應用 Dynamic Associated and Asymmetric Analysis of South Korea Dollars and Japan Dollars Exchange Rate Volatilities: An Application of the Bivariate EGARCH Model
Authors:	洪萬吉
Contributors:	醫務管理系
Keywords:	匯率報酬動態條件相關 GARCH模型雙變數IGARCH模型雙變數EGARCH模型 exchange rate return dynamic conditional correlation GARCH model bivariate IGARCH model bivariate EGARCH model
Date:	2009
Issue Date:	2010-03-02 13:51:46 (UTC+8)
Publisher:	台南縣：嘉南藥理科技大學醫務管理系
Abstract:	本文以2000年1月3日至2008年7月31日之日圓兌美元與韓元兌美元之匯率資料，探討日圓兌美元與韓元兌美元之匯率市場的關聯性與其模型之建構。實證結果得知，日圓兌美元之匯率與韓元兌美元兩市場之相互影響可建構在動態條件相關之雙變數EGARCH(1，2) 模式上來分析它。實證結果分析也得知，兩市場之動態條件相關係數平均估計值為 =0.2876，顯示研究資料期間日圓兌美元之匯率波動是正向影響韓元兌美元匯率市場報酬。實證結果分析也顯示，日圓兌美元之匯率市場報酬波動是具有不對稱性現象，而韓元兌美元之匯率報酬波動是未具有不對稱性現象。基於Engle (2002)之文章，動態條件相關之雙變數EGARCH(1，2)模型是比動態條件相關之雙變數GARCH(1，1)模型具有解釋能力。這些證據可建議如匯率市場投資人或國際基金經理人，在投資匯率決策之評估時，需考慮匯率與匯率間之波動的風險及其關聯性。 This paper studies the relatedness and the model construction of the Korea dollars and the Japan Dollars exchange rate volatilities in New York market. The study period is from January 2000 to July 2008. Empirical results show that the relatedness of the U.S. dollars and the Japan Dollars exchange rate volatilities, we can construct an bivariate EGARCH(1, 2) model with a dynamic conditional correlation (DCC) to analyze them. The average estimation value of the DCC coefficient for these two markets equals to =0.2876, this result indicates that the Japan dollars exchange rate volatility positively affects the South Korea dollars exchange rate volatility. Empirical results also show that the Japan’s exchange rate market does have the asymmetrical effect, but the Korea’s exchange rate market does not have the asymmetrical effect. Based on the paper of Engle (2002), the bivariate EGARCH(1, 2) model with a DCC has the better explanation ability compared to the traditional bivariate GARCH(1, 1) model. The evidence suggests that, for examples, the exchange rate investors or the international found managers in the decision of the exchange rate market, they also need to consider the risk of exchange rate volatility, and the relationship of the different foreign exchange rate markets.
Relation:	計畫編號：CN9815
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Chna Project

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