Dynamic Associated Analysis of Two Stock Returns´ Volatility: An Evidence Study of Malaysia and Singapore Stock Markets

This paper uses the Malaysia and the Singaporepsilas stock prices of material from January 3, 2000 to July 20, 2007, discussing the model construction and their associations of between Malaysia and Singaporepsilas stock markets, and also uses Student´s t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Malaysia and the Singaporepsilas stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that between Malaysia and Singaporepsilas stock market returns exists the positive relation- namely these two stock market returnpsilas volatility is synchronized influence, the average estimation value of the DCC coefficient of two stock market returns amounts to 0.3826. Also, Malaysia and Singapore´s stock markets do not have the asymmetrical effect in the research data period. Based on the DCC (Engle, 2002), the DCC and the bivariate GARCH model have a better explanatory ability compared to the bivariate GARCH model with a constant conditional correlation.