Abstract: Based on the market index trend,the sample data is divided into four bulls and three bears,and each is examined by CGARCH model.The empirical results show that the volatility persistence is relatively lower in bear markets than that in bull markets.In contrast to some previous findings of high volatility persistence in US bear stock market,our results imply that the cause of China's bear stock market is not attributable to the change of volatility persistence.We prefer to explain the observed differences of volatility dynamics across bull and bear markets in terms of investor sentiment.

Key words: volatility persistence, CGARCH model, bull market, bear market