台幣兌美元與台幣兌日圓之匯率波動的動態關聯性分析：誤差修正與雙變數IGARCH模型之應用

Dynamic Associated Analysis of U.S. Dollars and Japan Dollars Exchange Rate Volatilities in Taiwan: An Application of the Error Correction and the Bivariate IGARCH Model

洪萬吉(Wann-Yi Horng) ； 黃明棋(Ming-Chi Huang)

《嘉南學報（科技類）》 36期 (2010/12) Pp. 280-290

https://doi.org/10.29540/CNABST.201012.0035

摘要

本文以2000年l月4日至2006年12月29日之台幣兌美元與台幣兌日圓之匯率資料，探討台幣兌美元與台幣兌日圓之匯率市場的關聯性與其模型之建構。實證結果得知，台幣兌美元之匯率與台幣兌日圓兩市場之相互影響可建構在動態條件相關與誤差修正之雙變數IGARCH(1, 1)模式上來分析它。實證結果分析也得知，兩市場之動態條件相關係數平均估計值爲P(下標 t)=-0.2594，顯示研究資料期間台幣兌美元之匯率波動是負向影響台幣兌日圓之匯率市場報酬。實證結果分析也顯示，台幣兌美元之匯率市場報酬波動與台幣兌日圓之匯率波動是未具有不對稱性現象。基於Engle(2002)之文章，動態條件相關與誤差修正之雙變數IGARCH(1, 1)模型是比非動態條件相關之雙變數GARCH(1, 1)模型具有解釋能力。這些證據可建議如匯率市場投資人或國際基金經理人，在投資匯率決策之評估時，需考慮匯率與匯率問之波動的風險及其關聯性。

關鍵字

匯率 ； 動態條件相關 ； GARCH模型 ； 雙變數IGARCH模型

並列摘要

This paper studies the relatedness and the model construction of the U.S. dollars and the Japan dollars exchange rate volatilities during the period from January, 2000 to December, 2006. Empirical results show that we can construct an error correction and the bivariate IGARCH (1, 1) model with a dynamic conditional correlation (DCC) to analyze the relatedness of the U.S. dollars and the Japan dollars exchange rate volatilities. The average estimation value of the DCC coefficient for these two markets equals to P(subscript t)=-0.2594. and this result indicates that the U.S. dollars exchange rate volatility negatively affects the Japan dollars exchange rate volatility. Empirical results also show that there is not asymmetrical effect for the two exchange rate markets. Based on Engle's paper (2002), the error correction and the bivariate IGARCH (1, 1) model with a DCC has the better explanation ability compared to the traditional bivariate GARCH (1, 1) model. The evidence suggests that as the exchange rate investors or the international found managers are in the decision of the exchange rate market, they need to consider the risk of exchange rate volatility and the relationship of the different foreign exchange rate markets.

並列關鍵字

exchange rate ； dynamic conditional correlation ； GARCH model ； bivariate IGARCH model