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This paper studies the association and the model construction of the Korea’s, the Taiwan’s and the Thailand’s exchange rate markets. In this paper we can construct a dynamic conditional correlation (DCC) and a trivariate IGARCH (1, 2) model to evaluate the association and there are not exist an asymmetrical effect among the three exchange rate markets. The empirical results of correlation analysis also show that Korea exchange rate market positively affects the Taiwan’s and the Thailand’s exchange rate markets, and the volatility of the three exchange rate market interact with one another. Furthermore, for example, the variation risk of the Korea exchange rate markets’ volatility affects the variation risks of the Taiwan and Thailand exchange rate markets. The empirical result suggests that the investors or international fund managers of the exchange rate markets must evaluate their markets on the previous of the exchange rate investment decision. They also need to consider the risk and relationship of the three exchange rate markets’ volatility. Index Terms exchange rate market, asymmetrical effect, DCC, trivariate IGARCH model.

Dynamic Relatedness Analysis of Three Exchange Rate Markets� Volatility: Study of Korea, Taiwan and Thailand�s Countries