Abstract: This article analyzes briefly the characteristic of different ARCH models and then uses relevant models to carry on the empirical study on the market fluctuation characteristics of Chinese securities investment fund.The EGARCH,TGARCH,EGARCH-M models are used to analyze the volatility clustering,leverage effect,risk premium effect,and the relationship between volatility and information.According to the empirical study results,there are volatility clustering and leverage effect in China securities investment fund market,but there is not statistically significant risk premium effect.The positive correlation exits between the China securities investment fund market fluctuation and its trading volume.

Key words: the securities investment fund, market fluctuation characteristic, ARCH models