Associated Analysis of Two Exchange Rate Market Volatility with two Factors of Japan and European Dollars: Empirical Study of Taiwan and Korea's Exchange Rate Markets

摘要

This paper uses the Taiwan's and Korea's exchange rates of material from January, 2004 to December, 2009, discussing the model construction and. their associations of between Taiwan's and Korea's exchange rate markets. The empirical results show that the mutual affects of the Taiwan's and the Korea's .exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows-that between Taiwan's and Korea's exchange rate markets exists the positive relations- namely two exchange rate market return's volatility are synchronized influence, the average estimation value of the DCC coefficient of two exchange rate markets equals to 0.4661. The Japan's and the European's exchange rate volatilities will also affect the variation risk of the Taiwan's and the Korea's exchange rate markets.. Also, Taiwan's and Korea's exchange rate markets do not have the asymmetrical effect in the research data period.