The purpose of this paper is to examine the impact of the introduction of the introduction of futures trading on the volatility in Taiwan stock market. This paper modify the standard GJR-M model to the variable GJR-M model to the variable GJR-M model, which consider both the structure of stock return and risk change over time, and other factors, such as money market and foreign market that will affect stock market. This paper serves as one of the first studies that adopt the variable GJR-M model to investigate the impact of future introduction on the volatility and get certain conclusions, which is argued by previous studies. The evidence shows that an increase in conditional volatility is associated with futures introduction in Taiwan stock market. In addition, this paper also provides that money market and foreign market will affect the relationship between stock return and risk on the other hand, we also find that rational investor receive an investing return for any corresponding increase in investment risk, and information asymmetry exists in the Taiwan stock market, indicating that bad news has a greater impact on volatility than good news.