The article explores how the Dhaka Stock Exchange in Bangladesh behaves in terms of volatility from 2004 to 2020. The researchers used different models to study the effects of leverage and long memory on the stock market. They found that there are asymmetric effects and long memory behavior in the volatility of stock returns, which goes against the idea that the market is always efficient. Some models were better at predicting volatility than others. The study also looked at the relationship between risk and return in the stock market, but found no clear connection. This information can help investors make better decisions when investing in the Bangladesh stock market.