This paper uses the data of Japan’s and Korea’s exchange rates to discuss the model construction
and their associations between Japan’s and Korea’s terms exchange rate markets. The empirical
results show that the mutual affects of Japan’s and Korea’s exchange rate markets may construct in
bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that the terms exchange
rate markets between Japan and Korea exists the positive relations- namely two terms exchange rate
market’s volatility are synchronized influence, the average estimation value of the DCC coefficient of
two exchange rate market returns equals to 0.1531. The European’s exchange rate market’s volatility
will also truly affect the variation risk of Japan’s and Korea’s exchange rate markets. Also, Japan’s
and Korea's exchange rate markets do not have the asymmetrical effect in the research data period.
關聯:
Journal of Convergence Information Technology (JCIT) 5(5)：p.148-155
