Islamic Capital marketand conventional have some typesecurities which have different risks levels. A stock is one of security among other securities that have the high level of risk. One of the risk that exist in the stock is fluctuations price, it is commonly called as volatility. The aimed of this research is to know the comparative volatility risks of stock price index in Indonesia with GARCH Method. The samples taken in this study is Indek Harga Saham Gabungan (IHSG) and Jakarta Islamic Indexs (JII), from 1 May 2013 to 31 December 2014. The research found that there the volatility influence the IHSG and JII. The forecast of variance results showed that the fluctuations and the proportion of the variant of the IHSG are same as with JII that is 0.05.Nevertheless, when viewed from diverge proportion of IHSG and JII each of them are 0,05 and 0,04, it means the volatility risk IHSG is higher than JII and if it seen from the accuracy percentage of forecast, JII is more accurate that is amounted 16.83% contrasted with IHSG it is 12.99%.