Under economic globalization, the situation of Renminbi is related to the existence, international status and financial environment of Chinese foreign trade enterprises, thus, it is necessary to forecast Renminbi/US dollar exchange rate. Based on the demonstration of the feasibility, heteroscedasticity and selfdependablity of time series, related GARCH(1,1) Model is set up, the model is used to forecast US dollar/Renminbi exchange rate. The results show that GARCHM Model can be used to forecast the exchange rate in reality but because of few testing data, the forecast can not reach accuracy destination.