This study examines the sources of the Amman Stock Exchange (ASE) price index volatility, using monthly data between 1991 and 2010. The volatility returns of the ASE are estimated through utilizing the ARCH /GARCH model with /without dummy variable, and to measure the shocks of each variable, the Impulse Response Function (IRFs) is applied. The results of the study revealed that the ARCH (1) performs well. It also indicated that RMS2, CPI, E1, WAIR and the dummy variable have an adverse impact on the ASE returns volatility, while RGDP played a positive effect. The volatility equation shows that the mean () is smaller than that of the parameter of lagged squared error term (). ARCH (1) (represented by) is positive and statistically significant at 1% level, while GARCH (1, 1), represented by, is negative with the dummy variable but not statistically significant. The sum of ( +) is greater than unity, demonstrating that the volatility increases over time. The dummy variable () has an inverse influence on the ASE index returns volatility and is statistically significant at 1%. The results from the (IRFs) support the significance of dynamic association between the monthly return index and the macroeconomic variables. The findings of this study can assist policy makers in curbing the outflows of financial capital, investors in assessing the asset returns predictability during the financial crisis, financial regulators, business executives, and stock market analysts.