Abstract: In this paper, we have p roposed the stochastic differential equation model on stock index and gave the nonparametric estimators of the infinitesimal coefficients associated with the stochastic differential equation. Then, the nonparametric estimation algorithm and emp irical study on Shanghai stock exchange indexwere given. It has shown that the model could describe many statistical characteristics of stock index; the algorithm was feasible and could better forecast the tendency about the stock index.