汇率是国际贸易中的调节杠杆，对进出口贸易收支、国内物价水平、国际资本流动和经济结构、生产布局等都会产生重要影响，因此研究汇率变动有十分重要的意义。本文主要研究澳元兑美元的汇率数值变动，选取澳元兑美元汇率变动较为显著的1979~1999年的数据进行时间序列分析，本文分别对数据拟合了ARIMA模型和GARCH模型，对模型进行各项检验，并比较了两种模型的优劣，且与目前已获得的在此之后的真实汇率值作比较以评估模型的拟合效果，最终选择GARCH模型来拟合澳元兑美元的汇率变动，并在此结果的基础上说明GARCH模型在金融数据中的广泛应用。 Exchange rate is a regulatory lever in international trade. It has an important impact on import and export trade balance, domestic price level, international capital flow and economic structure and production layout. Therefore, it is of great significance to study exchange rate fluctuations. This paper mainly studies the numerical changes of the exchange rate of Australian dollar against the US dollar, and selects the data from 1979 to 1999 when the exchange rate of Australian dollar against the US dollar changed significantly for time series analysis. In this paper, ARIMA model and GARCH model are fitted to the data respectively, various tests are carried out on the models, and the advantages and disadvantages of the two models are compared, and the real exchange rate values obtained after this are compared to evaluate the fitting effect of the models. Finally, the GARCH model is chosen to fit the exchange rate change of Australian dollar against US dollar, and the extensive application of GARCH model in financial data is illustrated on the basis of the results.