The study is an attempt to gauge the volatilities of three stock market indices of Pakistan Stock Exchange namely KMI-30, KSE-30 and PSX-100 using GARCH model. The time series data of the three indices is chosen ranging from 30th August 2011 to 20th November 2018. The study focuses on the relationship of risk and returns together with measurement and comparisons of volatilities between the three indices. It also tests for the presence of ARCH and GARCH effects and to see if the three indices observe mean reversion. It is concluded the three stock market indices’ prices of three indices follow similar trend provided they belong to the same market. It was also noted PSX-100 has the highest mean return with lowest standard deviation; KSE-30 has the least mean return. Further, Pearson correlation analysis, which concluded a negative moderate correlation between average returns and risk, however it was insignificant. The test was performed to do a comparison among volatilities of the three indices and see if they are equal or not. The null hypothesis was rejected at the 0.01 a-level. This meant that at least one pair differed in volatility and that could be (PSX-100, KMI-30) and (PSX-100, KSE-30). Lastly, econometric analysis was done, which confirmed the presence of ARCH and GARCH effects. The sum of ARCH and GARCH coefficients was less than 1, indicating presence of mean reversion. Lastly, the speed of mean reversion was calculated using half-life method, which was similar in all three indices.