DCC Analysis of Two Exchange Rate Market Returns Volatility with a Factor of Switzerland Exchange Rate Market: Study of Japan and Korea Markets

This paper uses the Japani¦s and the Koreai¦s exchange rates with a factor of Switzerlandi¦s exchange rate market, discussing the model construction and their associations of between Japani¦s and Koreai¦s exchange rate markets. The empirical results show that the mutual affects of the Japani¦s and Koreai¦s exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that between Koreai¦s and Japani¦s exchange rate market returns exists the positive relations- namely two exchange rate marketi¦s volatility are synchronized influence. Empirical result shows that the Japani¦s exchange ratei¦s volatility will also affect the variation risk of the Koreai¦s exchange rate market, and the Koreai¦s exchange ratei¦s volatility will also affect the variation risk of the Japani¦s exchange rate market. Also, Koreai¦s and Japani¦s exchange rate markets do not have the asymmetrical effect in the research data period. And the Switzerlandi¦s exchange ratei¦s volatility will also affect the variation risk of the Japani¦s and the Koreai¦s exchange rate markets.