Abstract: To deal with the difficulty of data processing of futures contract, a new method is raised in this paper. With this new method, this paper processes the trading data of hard wheat futures in China from Jan 2002 to Aug 2004 and analyzes the price volatility according to the different periods from expired date with TARCH module. The result shows difference of price volatility exists in different tra ding periods. The result provides further explanation that trading volume is the main factor of price volatility and its differences.