This paper studies the relatedness and the model construction of exchange rate volatility and the South Korea stock market returns. Empirical results show that we can construct a bivariate EGARCH(1, 2) model with a dynamic conditional correlation (DCC) to analyze the relationship of exchange rate volatility and Korea stock market returns. The average estimation value of the DCC coefficient for these two markets equals to -0.1961, this result indicates that the exchange rate volatility negatively affects the South Korea stock market. Empirical result also shows that there exists an asymmetrical effect on the South Korea stock market, but the exchange rate volatility does not have the asymmetrical effect. Based on the good news and bad news (Nelson, 1991) of the stock market, the bivariate EGARCH(1, 2) model with a DCC has the better explanation ability compared to the bivariate GARCH(1, 1) model.
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 1) model is appropriate in evaluating the relationship of the U.S. and the Canada's stock markets. The empirical result also indicates that the U.S. and the Canada's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.669, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the U.S. and the Canada's stock markets have an asymmetrical effect, and the variation risks of the U.S. and the Canada's stock market returns also receives the influence of the positive and negative of the itself return rate's volatility.
This paper uses the Malaysia and the Singapore's stock prices as materials from to discuss the model construction and the associations of Malaysia and Singapore's stock markets, and it uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Malaysia and the Singapore's stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that it exists the positive relation between Malaysia and Singapore's stock market returns. Namely, these two stock market return's volatility is synchronized influence, and the average estimation value of the DCC coefficient of two stock market returns amounts to 0.3826. Also, Malaysia and Singapore's stock markets do not have the asymmetrical effect in the research data period. Based on the DCC (Engle, 2002), the DCC and the bivariate GARCH model have a better explanatory ability compared to the bivariate GARCH model with a constant conditional correlation.
This paper proposes a three variable’s double threshold-GRACH model, and uses this model to discuss U.S., U.K. and Australian stock return volatilities on the influence of the Brazil’s stock market. The empirical result demonstrates that the three variable’s double threshold-GARCH(1, 1) model is indeed appropriate, and also the response to the Brazil stock market has an asymmetrical effect. The empirical result also shows the different influence of the good news and the bad news on the eight kinds of the proposed model. Therefore, the information of U.S., U.K. and Australian stock return volatilities is able to affect the Brazil stock market returns’ volatility.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.