Dynamic Relationship of Two Exchange Rate Market Returns?? Volatility with an European Dollars Factor: Empirical Study of Japan and Korea’? Exchange Rate Markets

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Title:	Dynamic Relationship of Two Exchange Rate Market Returns?? Volatility with an European Dollars Factor: Empirical Study of Japan and Korea’? Exchange Rate Markets
Authors:	Wann-Jyi Horng
Contributors:	醫務管理系
Keywords:	terms exchange rate market DCC bivariate IGARCH model Student's t distribution asymmetrical effect.
Date:	2010-07
Issue Date:	2012-06-04 13:51:22 (UTC+8)
Abstract:	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.
Relation:	Journal of Convergence Information Technology (JCIT) 5(5)：p.148-155
Appears in Collections:	[Dept. of Hospital and Health (including master's program)] Periodical Articles

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