An idea about modeling of stochastic volatility was introduced into panel data model and a model for panel data with stochastic volatility was put forward which can analyze and compare the risks of different financial markets and the persistence of volatility synthetically in different conditions.The Quasi-likelihood function of the model was filtered out by Kalman filtering and the parameters of the model were estimated with the help of the quasi-maximum likelihood estimation.At last,the model was empirically analyzed on the basis of Chinese stock market data.It was seen that the model could well illuminate the differences of the whole risk as well as the volatile condition in Chinese stock markets and the volatile persistence of the stock markets in Shanghai and Shenzhen.