Relationship among ACD and SCD models, which appeared in financial market's ultra-high frequency data in recent years, and ACD model were explored theoritically. The results indicate that these two kinds of the models can be transformed to ARMA models, there being some common characters between them. For the two kinds of the models, their depicting abilities for autocorrelation functions were compared empirically and their good of fit were compared by the likelihood ratio test based on stochastic simulation.   It is concluded that SCD model has more advantage than ACD models.