Based　on　the　introduction　of　shorting　mechanism　and　index　movements,　this　article　studies　on　the　sequence　of　Shanghai　stock　market　index　comprehensive　index　yield,　finding　existed　leverage　effect　in　the　form　of　two　dimensions.　The　establishment　of　GARCH　family　models　by　stages　of　sequences　would　be　helpful　in　analyzing,　exhibiting　the　shorting　mechanism　with　double　effect　quantitatively:　it　largely　eliminated　the　asymmetric　ARCH　effect　in　certain　yield　sequence;　meanwhile,　it　also　compounded　the　volatility　of　individual　sequence　of　stock　index　returns.　©　2011　IEEE.