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

نویسنده

  • Wann-Jyi Horng
چکیده

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 relationsnamely 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.

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عنوان ژورنال:
  • JCIT

دوره 5  شماره 

صفحات  -

تاریخ انتشار 2010