Based on the research on GARCH Model, GARCH Model is constructed based on the fluctuation of Shanghai Stock Exchange Index yield, the analysis of the results from the obtained model shows that China’s Stock Market has characteristics similar to those of developed countries, i.e. Shanghai Stock Exchange yield sequence has significant heteroscedasticity characteristics and the size of yield fluctuations is significantly related to the size of their own past vibrations. Thus, GARCH Model can be used to fit and explain China’s Stock Market Index.