| This research is intended to capture stock price index volatility. Four alternatives ARCH model were used for estimating Telkom stock price index volatility. Two models i.e. GARCH(1,1) and TARCH(1,1) and for two alternative models, we add Trading Volume is added as exogenous variable in variance function. No evidence was found that inserting Trading Volume into the conditional variance function of the model reduces the importance of ARCH effect in capturing volatility. |