BasedondailyclosingpriceofShanghai-Shenzhen300IndexfromNov. 1st2006toDec.27th 2010，thispaperbuildsuptheGARCHandEGARCHmodels inordertoexplorewhetherthestockindex futures would impact the stock market volatility in China. The empirical analysis shows that the establish-ment of stock index futures in China decreases the volatility of spot price to some extent and plays a positiveroleonthehealthy andstabledevelopment of thestockmarket.