The article compares stock market volatility using different models and indices like S & P 500, NSADAQ, and DOWJONES from 2015 to 2019. The study finds that these indices show similar characteristics such as high returns, high risk, and volatility clustering. The GARCH (1,1) model is the most effective for forecasting stock market volatility compared to other models like EGARCH (1,1) and GJRGARCH (1,1).