Abstract: The ARCH type models are applied on the weekly data of crude oil return from January 1997 to November 2003 to examine the features of volatility in China market. Our findings indicate that there exists significant conditional heteroskedasticity but with low persistence in the return of crude oil. The leverage effect in oil market is different from the one in the stock market, which shows that upward movements in the price of crude oil are followed by higher volatilities than downward movements of the same magnitude. Based on this, this paper analyzes the cause of the leverage effect in crude oil market from the angel of nonrenewable resources and discusses the countermeasures to deal with the volatility in oil price in terms of the situation of China.