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We used the monthly share prices of all Nigeria Share Price index from April, 2000 to January, 2014 to identify and model the volatility of asset return in the Nigerian Stock Exchange. We compared several ARMA-GARCH models that best fits the series. The result of our study shows that the ARMA(1,1)-GARCH (1,1) model best describes the volatility of the return. The volatility of the returns was found to be quite persistent, i.e. current volatility can be explained by past volatility that tends to persist over time.