Estimating financial market dependence efficiently is very important in the finance market risk management. In China, Shanghai stock market and Shenzhen stock market are highly relevant, and the returns do not meet the hypothesis that it follows the Normal-GARCH model. In this paper, we used Modified Maximization by Parts (MMBP) algorithm and t-GARCH (1, 1) model to estimate the relationship between Shanghai stock market and Shenzhen stock market. The result shows that Copula-t-GARCH model could better capture the relationship in finance market, and MMBP algorithm is better than the traditional IFM method.