The paper focuses on the development of China’s outward foreign direct investment and the evolution of RMB exchange rate system, selects large listing corporations as a sample, and studies the short-term and long-term effects of exchange rate fluctuation on China’s outward foreign direct investment, by using VaR and GARCH (1,1) model and calculating observation values of logarithmic return rate measured in the US dollar, the HK dollar, the Euro and the Australian dollar in day, week, month, season and year cycles. The paper points out that the Australian dollar has strong exchange rate volatility and risk, the euro has significant exchange rate risk. The US dollar is one of main global hedge currencies, because its trend is relatively stable. The exchange rate risk of the HK dollar is similar to the US dollar, because the HK dollar is pegged to the US dollar. The conclusion of this paper has a certain significance to choose investment location and currency and avoiding exchange rate risk for China’s outward foreign investment corporations.