The researchers analyzed the volatility of the Pakistani stock market from 2008 to 2018 using different GARCH models and distribution techniques. They found that GARCH models with Student’s t distribution showed significant results, indicating the presence of risk premium. The EGARCH and TGARCH models showed significant leverage effects. The study concluded that the choice of distribution technique plays a crucial role in forecasting accuracy, with the EGARCH model using Student’s t distribution performing the best. This research expands on previous studies and is valuable for investors, policymakers, and researchers.