The diagnose analysis and modeling problem with structure change in ARCH models are discussed in this paper.The paper proposses fractional integrated augmented GARCH M model which can embrace almost all the current ARCH models. Based on the fractional integrated augmented GARCH M model, the handicap in model specification test, long memory test and parameters estimation is oversome.The segment modeling method is used to detect the structure changing points of the ARCH model and test the models for segment changing mod els．Finally，with the composite index of closing price in Shanghai stock market，it is shown to illustrate the effectiveness of the diagnose analysis