The relationship between China's macro economy and stock market has entered the stage of weak correlation, through the study on the volatility of the them, including ADF test, ARCH effect test, GARCH model analysis and Granger test, results show that, China's macro economy and stock market show non normality, stock market volatility does not exist ARCH effect macroeconomic volatility exist ARCH effect and GARCH (1,1) is most suitable for the description of the wave. Forecast the macroeconomic and the composite index of Shanghai Stock Exchange and mutual benefit.