![]() The study found that there has been a significant change in research work within the past 10 years and most of researchers have worked for developing stock markets. The secondary purpose of this review study is to conduct a content analysis of return and volatility literature reviews over a period of 12 years (2008–2019) and in 50 different papers. However, the main purpose of this review is to examine effective GARCH models recommended for performing market returns and volatilities analysis. In order to prevent uncertainty and risk in the stock market, it is particularly important to measure effectively the volatility of stock index returns. The stock market plays a pivotal role in today’s world economic activities, named a “barometer” and “alarm” for economic and financial activities in a country or region. In this paper, previous studies featuring a generalized autoregressive conditional heteroskedastic (GARCH) family-based model stock market return and volatility have also been reviewed. ![]() This research provides a literature review using a systematic database to examine and cross-reference snowballing. Even though there has been lack of integrity and inflexibility in traditional literature reviews with questions being raised about the quality and trustworthiness of these types of reviews. ![]() In the field of business research method, a literature review is more relevant than ever.
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