A new way to measure volatility in the Chinese stock market was studied. By using a method called weighted realized range-based volatility, researchers found that it can better estimate volatility compared to other methods. They looked at high-frequency data from the Shanghai and Shenzhen 300 Stock Index and found that the volatility in the Chinese stock market shows characteristics like fat-tails, clustering, and asymmetry. They also discovered a strong positive relationship between volatility and trading volume.