Based on the GARCH model index yield sequence have volatility cluster effect, and according to different market, deep Shanghai stock index fluctuation coefficient is different, we use correlation coefficient to measure the difference between the market fluctuations. Using the volatility of the stock index sample data obtained from the GARCH multivariate VAR model is set up, according to the nature of the VAR model to study the differentiation the rationality of existence. Deep in empirical research, we choo...