Considering the characteristics of the volatility such as excess kurtosis and leverage effect, the authors propose a Gaussian mixture AR-GJR-GARCH model. The parameters of the model are estimated by using MCMC method based on Griddy-Gibbs sampler. The model is implemented and tested by Matlab and R software taking EDU stock market as an example. The method has a certain manifestation on the characteristics of the volatility and the method has the good convergence, the weak autocorrelation, the simple algorithm, and the nice stability.
