Dynamic Relationship of Two Exchange Rate Market Returns' Volatility with an European Dollars Factor: Empirical Study of Japan a

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

• Type: Journal
• Year: 2010
• Where: JCIT
• Authors: Wann-Jyi Horng
• Keywords: Exchange Rate, Exchange Rate Market, JCIT 2010, Terms Exchange Rate