The article compares different methods for predicting stock market volatility in Botswana and Namibia. They used three types of GARCH models with various distribution densities to analyze how stock return volatility affects both markets. The study found that current shocks to the variance have less impact on future volatility in both markets. There is an asymmetric news impact in both markets, leading to a leverage effect in stock returns. Surprisingly, both markets show reverse volatility asymmetry, which goes against the usual theory. The symmetric GARCH model with fatter-tail distributions was the most accurate for forecasting stock market behavior in both countries.