Maximum Distance Separable (MDS) self-dual codes are of significant theoretical and practical importance. Generalized Reed-Solomon (GRS) codes are the most prominent MDS codes. Correspondingly there have been many research on constructions of Euclidean self-dual MDS codes by using GRS codes. However, the study on Hermitian self-dual GRS codes is relatively limited. Since Hermitian self-dual GRS codes do not exist for $n>q+1$, this paper is devoted to an investigation of GRS codes in the case where $n\le q+1$. First, we prove that when $n\leq q+1$, there are only two classes of Hermitian self-dual GRS codes, confirming the conjecture in [13] and providing its proof simultaneously. Second, we present two explicit construction methods. Thus, the existence and construction of Hermitian self-dual GRS codes are fully solved.