An Impact of the Oil Prices' Volatility Rate for the U.S. and the Japan's Stock Markets Return: A DCC and Bivariate Asymmetric-GARCH Model

Abstract

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relationship of the U.S. and the Japan's stock markets. The empirical result also indicates that the U.S. and the Japan's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.179, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the U.S. and the Japan's stock markets have an asymmetrical effect, and the variation risks of the U.S. and the Japan's stock market returns also receives the influence of the positive and negative of the oil prices' volatility rate.