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首页> 外文会议>2012 Fifth International Conference on Business Intelligence and Financial Engineering >DCC Analysis of Two Exchange Rate Market Returns Volatility with a Factor of Switzerland Exchange Rate Market: Study of Japan and Korea Markets
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DCC Analysis of Two Exchange Rate Market Returns Volatility with a Factor of Switzerland Exchange Rate Market: Study of Japan and Korea Markets

机译：基于瑞士汇率市场的两个汇率市场收益波动的DCC分析：日本和韩国市场研究

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摘要

This paper uses the Japan¡¦s and the Korea¡¦s exchange rates with a factor of Switzerland¡¦s exchange rate market, discussing the model construction and their associations of between Japan¡¦s and Korea¡¦s exchange rate markets. The empirical results show that the mutual affects of the 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 between Korea¡¦s and Japan¡¦s exchange rate market returns exists the positive relations- namely two exchange rate market¡¦s volatility are synchronized influence. Empirical result shows that the Japan¡¦s exchange rate¡¦s volatility will also affect the variation risk of the Korea¡¦s exchange rate market, and the Korea¡¦s exchange rate¡¦s volatility will also affect the variation risk of the Japan¡¦s exchange rate market. Also, Korea¡¦s and Japan¡¦s exchange rate markets do not have the asymmetrical effect in the research data period. And the Switzerland¡¦s exchange rate¡¦s volatility will also affect the variation risk of the Japan¡¦s and the Korea¡¦s exchange rate markets.
机译：本文以日本和韩国的汇率作为瑞士汇率市场的一个因素，讨论了日本和韩国的汇率市场之间的模型构建及其联系。实证结果表明，在具有DCC的双变量IGARCH（1，1）模型中，日本和韩国汇率市场的相互影响可能会得到构建。实证结果还表明，韩日汇率市场收益之间存在正相关关系，即两个汇率市场的波动性是同步影响的。实证结果表明，日本汇率的波动性也会影响韩国汇率市场的变动风险，韩国的汇率波动性也会影响韩国汇率市场的变动风险。日本的汇率市场。此外，在研究数据期间，韩国和日本的汇率市场没有不对称效应。瑞士汇率的波动也会影响日本和韩国汇率市场的变动风险。

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