We want to use the gray theory in the structure change of time series. According the datum by the accumulated generating operation (AGO) to construct the gray model of first derivate and one input variable, that is GM(1,1), then use the error analysis of gray model to get the datum fluctuant trace and propose the detecting method for the outliers, change points, or change periods. First, we choose some datum to fit a dynamic model of GM(1,1). To get the datum fluctuant trace and its rule of datum. Along with data change we can construct the global dynamic model of the datum. If we find the violent fluctuant in the trace of data, that display this data is not in the circulating trace, that show this data is an outliers or change point. If there are many data not in the trace and become another model, that reveal a change period. Last, I’ll use the model construction process to construct the dynamic model and find the outliers, change point, or change period in the future for the month’s average exchange rate of US/NT dolor from 1979 to2012, and to prove the efficiency and practicality of this method. There are ten change periods. The longest change period has 27 months from 1986/03 to 1988/05. The shortest change period has 7 months from 2003/10 to 2004/04.