This　study　estimates　the　returns　and　volatility　in　the　China＇s　stock　index　futures　market.　Our　approach　introduces　a　novel　consideration　of　price　duration,　a　factor　that　we　integrate　into　our　models　to　enhance　the　estimation　of　volatility.　We　construct　a　stochastic　conditional　duration　(SCD)　model　to　investigate　the　price　duration　and　extend　the　classical　generalized　autoregressive　conditional　heteroskedastic　(GARCH)　model　by　taking　into　account　price　duration　and　more　microstructure　variables　to　investigate　their　influence　on　returns　and　volatility.　We　investigate　in　detail　the　moderating　effect　of　the　limiting　trade　rule,　an　exogenous　policy　shock,　on　returns　and　volatility.　We　find　that　significant　clustering　exists　in　price　duration　and　that　during　the　midday　break　in　trading,　subsequent　price　duration　and　returns　decline,　whereas　volatility　increases.　Price　duration　and　open　interest　both　have　a　negative　effect　on　returns　and　volatility,　whereas　trading　volume　has　a　positive　effect　on　them.