Abstract:This paper uses the Malaysia and the Singapore's stock prices as materials from to discuss the model construction and the associations of Malaysia and Singapore's stock markets, and it uses Student's t distribution to analyze the proposed model. The empirical results show that the mutual affects of the Malaysia and the Singapore's stock markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that it exists the positive relation between Malaysia and Singapore's stock m… Show more
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