The empirical results show that the proposed model is appropriate in evaluating the relationship of the Taiwan’s and the Singapore’s stock markets. The empirical result also indicates that the Taiwan’s and the Singapore’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.5597, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Taiwan’s and the Singapore’s stock markets have an asymmetrical effect. The volatility of the Taiwan and the Singapore stock markets receives the influence of the positive and negative values of the global energy index and the global material index volatility. For examples, under the good news of global energy index and the global material index markets, the empirical result shows that the variation risk of Taiwan stock market will affect the variation risk of the Singapore stock market. And the variation risk of the Singapore will also affect the variation risk of the Taiwan stock market. Under the good news of the global energy index and the global material index, the variation risk of the Taiwan’s stock market is larger than the variation risk of Singapore’s stock market. Key Words: Stock Market, Asymmetric Effect, IGARCH Model, AIGARCH Model.