The purpose of this paper is to investigate the volatility of both Islamic and conventional stock market in Indonesia with the aim of identifying the most appropriate model for risk management practice. The study considers GARCH as a genre of model to measure the volatility of stock market movement. The results support the view that each model shows specific volatility from both Islamic and conventional stock market in Indonesia. In Islamic stock market, volatility is affected by exchange rate and money supply (M1) but not interest rate as interest is prohibited in Islam. However, interest rate is found as a principal factor that affects volatility of conventional stock market. The outcomes of this paper are of particular significance to policy makers, as it provides guidelines to maintain economic health. Furthermore, the findings may assist practitioners to understand the consequences of macroeconomic factors such as exchange rate, money supply and interest rate, which are very crucial for the market stability of Indonesian stock market. The paper enhances the understanding of stock market volatility and proposes guidelines risk management practices.

1. Introduction1
 2. Literature Review
  2.1. Volatility Forecasting
  2.2. Volatility Measurement (Modeling)
  2.3. Volatility and Macroeconomics
  2.4. Volatility in Islamic Market
  2.5. Volatility in Indonesia Stock Market
 3. Methodology
  3.1 Data
  3.2 Instrumental Variables
  3.3. Volatility Measure
  3.4. GARCH Model
  3.5. Regression Analysis
 4. Findings and Discussions
 5. Conclusion
 References

• Mustika Rahmi(Department of Finance Kulliyah of Economics and Management Sciences International Islamic University Malaysia) First Author
• Nurul Azma(Department of Accounting and Finance Faculty of Business Management and Professional Studies Management and Science University)
• Aminullah Achmad Muttaqin(Department of Finance Kulliyah of economics and management sciences International Islamic university Malaysia)
• Thuba Jazil(Department of Finance Kulliyah of Economics and Management Sciences International Islamic University Malaysia)
• Mahfuzur Rahman(Senior Lecturer Department of Finance and Banking Faculty of Business and Accountancy University of Malaya) Corresponding Author