글로벌 금융·재정위기를 전후한 유로화와 달러화의 환율변동성과 조건부공분산 분석
An Analysis on Price Volatility and Conditional Covariance Effect between Won-Euro and Won-Dollar Exchange Rates before and after Global Financial & Fiscal Crisis
The main object of this study is to analyse the effect of the price volatility & conditional covariance between won-euro and won-dollar exchange rates before and after global financial & fiscal crisis. After all, this study focuses on analysing the volatility effect of GARCH models which detect the characteristics of the conditional heteroscedasticity, asymmetry effect, and conditional covariance effect of won-euro and won-dollar exchange rates. Some main empirical results are summarized as follows; Firstly, the expansion of the volatility of won-euro & won-dollar exchange rates was found irregularly elastic before and after global financial & fiscal crisis. Secondly, in terms of the median lag analysis, the persistence of won-euro exchange rates is slightly stronger than that of won-dollar exchange rates. Thirdly, a significant evidence was not found in detecting the asymmetry effect of volatility of won-dollar & won-euro exchange rates, however, the test of asymmetry effect of volatility of won-euro exchange rates did not have a statistical significance. Fourthly, in terms of conditional covariance analysis, the positive time-varying correlation between won-euro and won-dollar exchange rates was detected before and after global financial & fiscal crisis.
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