Abstract: This paper conducts an empirical test of the volatility of the stock market in China, by building the ARMA-TGARCH-M model, and using the data of low-frequency daily yield and high-frequency five minutes yield of Shanghai Composite Index and Shenzhen Component Index simultaneously. The empirical results show that there is a substantial high-frequency fluctuation in China's stock market, and that the overall market risk is high. Moreover, there are characters of volatility clustering, peaky kurtosis and thick trail and asymmetric distribution in the yield volatility of stock market in China; and the stock market in Shenzhen is more prominent in all those characteristics than the stock market in Shanghai. In addition, there are significant stability, self-correlation and ARCH effect, long external shock volatility duration, and the significant leverage effect as well. GARCH Models can be fitted well to the problem of the volatility of the stock market in China.