In this study, ARCH-class models have been estimated by using daily data on stock exchange (2245 observations) and later appropriate model have been chosen. The relationship between changes in volatility and market returns has been analyzed by estimating the volatility equation. Parameter estimates indicated a positive realitionship between stock exchange volatility and stock exchange return. However, in this case, according to “news”, the direction of the relationship may change with a reasonable lag. Furthermore, a strong and positive relationship between daily trading volume and daily rate of return have been observed.