Abstract
The purpose of this research was to evaluate the influence of European, Japanese and Singapore’s exchange rate volatility on Taiwan market. For this purpose, data of exchange rate prices from 2006-2014 was collected from Taiwan’s market. The empirical results show that the AIGARCH (1, 1) model is appropriate in evaluating the volatility model of Taiwan’s exchange rate market. The empirical result also indicates that Taiwan’s exchange rate market has an asymmetrical effect. The exchange rate volatility of the Taiwan exchange rate market receives the influence of the good and bad news of the European, Japan, and the Singapore exchange rate markets. For example, under the REUERt 0 (good news), the RJERt 0 (good news) and 0 RSIERt (bad news), the variation risk of the Taiwan exchange rate market is the highest ( 51 0.8878 ). Under the REUERt 0 (good news), the RJERt 0 (bad news) and 0 RSIERt (good news), the variation risk of the Taiwan exchange rate market is the lowest ( 0.4380 61 ).
