Abstract: The high-frequency-data-based classified information mixture distribution EGARCH model,which is put forward in this article,is based on market microstructure theory.We take an empirical test on the price-volume relation in the Chinese stock market by adding the high-frequency-data-based volume caused by good news and bad news in the EGARCH model as the classified information flow proxy.In addition,the result of our work can support that the classified volume is an interpretation of the persistence of the volatility of the stock market,and we can distinguish the different effect caused by the classified information.

Key words: high frquency data, classified information, EGARCH