Since economic agents make the decisions based on the perceived distribution of the random variables in the future, assessment and measurement of the variance has a significant impact on their course of action. Therefore, market participants’ ability to accurately measure and predict the stock market volatility has wide spread implications. This capability has a particular importance in an environment, where the perception of high levels of volatility has the potential to erode the investor confidence and divert the capital inflows from equity markets. This is a particular concern for the emerging equity markets that lack the advanced institutional and informational infrastructures and which are very vulnerable to domestic and foreign capital flows. The purpose of this study is to determine the time-varying characteristics of volatility in an emerging stock market by utilizing rich family of ARCH models. The primary focus of the study is to explore the nature of volatility in the ISE.