This paper focuses on the day-of-the-week effect and contingency/persistency of the return rate series and the volatility in shenzhen stock index.

• 摘要股价与成交量是股市中的两个重要变量，研究股票市场的波动率，掌握股票市场的主要波动性特征，进而有效管理市场，具有重要的理论意义和实践价值。