根据ＡＲＣＨＧＡＲＣＨ 模型理论，利用ＧＡＲＣＨ 模型及其各种推广形式研究了当前中国货币市场银行间同业拆借利率、证券成交量和证券日报酬率之间的关系，发现当前中国证券市场和货币市场之间存在着显著的相关性，货币市场资金供需状况、证券成交量等因素的改变将影响证券市场的证券报酬率．相比较而言，上海证券市场比深圳证券市场更为成熟稳定

Based on the ARCH-GARCH model, this paper uses the GARCH model and its extended models to analyze the relation among the interbank interest rate, the securities' trading volume and the securities' return. We point out that the money market has some significant affections on the securities market. The interbank interest rate and the securities' trading volume all have affections on the securities' return. Shanghai Stock Market is more mature and steady.