Abstract: The intraday periodicity in the returns volatility in China stock markets is shown to have a strong impact on the dynamic properties of high frequency returns, the periodic modeling procedure developed in this paper provides a framework and gives some extended volatility models with market microstructure features for us to comprehend the high frequency volatility clustering phenomena. We find some interesting results such as W-shaped trading process pattern in a trading day, and information effects are also empirically relevant, we offer some explanations.