SummaryThis study aims to compare the variance structure of high (daily) and low (weekly, monthly) frequencies of the data. Using the ARCH (1) and GARCH (1, 1) models, the study shows that the intensity of the shocks is not equal for all series. The study first reveals that the statistical properties of the three return data series are significantly different from each other and that the persistence of conditional volatility is also different for the three series. The presence of persistence is found more in daily stock returns than in other data sets, showing that volatility patterns are sensitive to data series frequencies. Simply put, the results reveal that the variance structure of high-frequency data is different from low-frequency data and that the variance structure in daily data is closely related to the stylized facts associated with stock return volatility. Keywords: ARCH, GARCH models, KSE 100 -index, persistence.1. IntroductionThe most important research topic in financial markets over the past three decades is the volatility of stock returns. After the publication of Engle's (1982) ARCH article, volatility received considerable attention from researchers, practitioners, and policy makers. This interest is because volatility is a measure of risk and different participants use it for different reasons. Volatility has been high in recent years for both developing and developed countries, but is much higher for developing countries. The study of volatility is therefore more important in developing countries. After the 1987 crash, the need to measure volatility took center stage...... middle of article ...... other market: modeling and forecasting prices of kraft paper and conditional volatility " Unpublished research paper. Rizwan, MF and Khan, S. (2007), “Stock return volatility in emerging equity markets (Kse): relative effects of domestic and global factors”, International Review of Business Research Papers Vol.3 No.2 June 2007, pp. Selcuk, F. (2004), “Aometric Stochastic Volatility in Emerging Stock Markets”, unpublished research paper Thomas, S. (1995), “Heteroskedasticity Models on. the Bombay Stock Exchange”, working paper, University of Southern California, Department of Economics Turan, G., Bali, K. and Demirtas, O. (2006), “Testing Mean Reversion in Stock Market Volatility” Research paper. unpublished Zhu, J. (2007), “Prcing Volatility of Stock Returns with Volatile and Persistent Components”, School of Economics and Management, April. 23, 2007.