Abstract : The study aimed to examine the characteristics of conditional volatility in the GCC stock markets, GCC stock indexes; Bahrain All Share Index (BAX), Tadawul All Share Index (TASI), Kuwait Premier Market Index (BKP), Muscat Securities Market Index (MSI), QE General Index (QSI), DFM General Index (DFMGI), and ADX General Index (ADI). The study used the daily return data from 5 January 2010 to 31 December 2019 for all indexes except the BKP index, whose data ranges from 25 May 2010 to 31 December 2019. The models employed to analyze the data are the basic GARCH model, GARCH-M model, GJR-GARCH, EGARCH, and PGARCH. The study adopted three criteria implemented, i.e., Akaike info criterion, Schwarz criterion, and Hannan-Quinn criterion, to choose the best model and the best distribution density. The best models’ results suggested volatility clustering and long-term memory features in GCC stock markets. First, the GARCH-M model indicated the presence of risk premium in BKP. Second, the asymmetrical GARCH models provided strong evidence for the leverage effect in DFMGI, ADX, and QSI indexes, which implies that negative shocks or bad news cause a more significant impact than positive shocks or good news on the subsequent period volatility. Third, the positive and significant leverage parameter in PGARCH suggested that in MSI and TASI indexes, the positive shocks or good news implies a larger impact on subsequent period volatility than negative shocks or bad news.