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 accuracy of forecasting density and choice of volatility model were influenced by the conditional distribution used. The EGARCH model with Student’s t distribution provided the best results based on statistical tools. This study expands on previous research and is valuable for investors, policymakers, and researchers.