The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of Thailand's and Malaysia's stock markets. The empirical result also indicates that the Thailand's and the Malaysia's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.4107, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Thailand's and the Malaysia's stock markets have an asymmetrical effect. The return volatility of the Thailand and the Malaysia stock markets receives the influence of the positive and negative values of the global energy index and the global material index volatility. For example, under the good news of global energy index and the global material index markets, the empirical result also shows that the Thailand and the Malaysia stock markets can reduce the fixed variation risk.
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.
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.
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