近年來，臺灣政府一直推展公營事業民營化，使得上市公司股票市場受到外在的影響有日趨升高的跡象。本文將做一個實證研究，研究資料採用2001年1月2日到2005年10月4日的中鋼公司之股票報酬資料，使用TGRACH與EGARCH模型探討中鋼公司股票報酬率之模型的建構。而由實證結果顯示ARMA(1，1)-TGARCH(1，1)-M與ARMA(1，1)-EGARCH(1，1)-M模式對探討中鋼公司股票市場報酬率模式的擬合是合適的，即可捕捉中鋼公司之股票報酬率的波動過程。實證結果也得知，中鋼公司之股票報酬率的波動過程是存在不對稱效果，即在壞消息之下將增加中鋼公司之股價報酬率的變異風險。

In recent years, the Taiwan government continuously promoted the public enterprise privatization, caused to be listed stock market to come under the external influence to have the day by day ascension sign. This paper will do an empirical diagnosis research, the research material uses on January 2, 2001 to October 4, 2005 stock of return material China Steel Corporation, used TGRACH and the EGARCH model discusses model of the China Steel Corporation share return rate construction. But by the empirical diagnosis result demonstrated ARMA(1,1)-TGARCH(1,1)-M and the ARMA(1,1)-EGARCH(1,1)-M pattern to discusses the China Steel Corporation share market return rate pattern fitting is appropriate, then catches stock of return rate the China Steel Corporation volatility process. The empirical diagnosis result also knew that, stock of return rate the China Steel Corporation volatility process is the existence asymmetrical effect, namely will increase the variation risk of stock price return rate for China Steel Corporation under the bad news.