This paper investigates the volatility of Amman stock exchange volatility during the period 1994–2013, also the paper focuses on the performance of various Garch models, were Arch model not dismissed in term of their ability of delivering volatility forecasts for Amman stock market return data, in this paper a stationary Garch models were estimated, I have assess the performance of the maximum likelihood estimator, finally I have attempt to fit the dynamic of daily Amman stock return, by different models and BL, approach. A quantified data of the returns of weekly dealing has been used to achieve the goals of paper, enhance the (?) leverage used to test for asymmetric volatility. This paper is an attempt to study and modules the volatility of Amman stock market using daily observations as the day-of-a week return index for the period from January, 1994 through the period up to end of June, 2013, to achieve this purpose I have divided the period of study into two periods, then I have estimated the data by using Arch (1), Garch, E Garch, and the Go-Garch models are employed.

Arch (1) and E-Garch models are utilized in this paper to have the symmetry effects, whereas E-Garch are used to capturing the asymmetric effect. Results can be stated as: the E-Garch model is most fitted model to forecasting data of returns volatility between Garch (1, 1) and Garch (1, 2) as model performance is very small, according to BL approach Alpha of AMS portfolio and frontiers returns is (-0.5492), and the risk ratio is (0.5683).