Paper Details
Title An Impact of Japan and Korea Exchange Rate Volatilities in Southeast Asia Two Exchange Rate Markets: Empirical Study of Thailand and Philippine Countries
AuthorsYAO-CHENG TSAI and WANN-JYI HORNG
Abstract

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1,1) model is appropriate in evaluating the relationship of the Thailand’s and the Philippine’s exchange rate markets. The empirical result also indicates that the Thailand’s and the Philippine’s exchange rate markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4005, which implies that the two exchange rate markets is synchronized influence. Besides, the empirical result also shows that the Thailand’s and the Philippine’s exchange rate markets have an asymmetrical effect. The return volatility of the Thailand and the Philippine exchange rate markets receives the influence of the positive and negative values of the Japan and the Korea exchange rate volatilities. Under the good news of Japan and Korea Exchange rate markets, the empirical result also shows that the Thailand and the Philippine exchange rate markets can reduce the fixed variation risk.
Keywords: Exchange Rate, Asymmetric Effect, IGARCH Model, AIGARCH Model.

Pages 240-247
Volume 8
Issue 2
Part 1
File Name Download (80)
DOI 10.30543/8-2(2019)-11