The study employed the GARCH (1,1) and E-GARCH model techniques to establish that three macroeconomic variables interest rate, inflation rate and stock market return are volatile, the objective of this study is to determine the magnitude and behavioural pattern of these macroeconomic variables, using monthly series data from 1995-2014.This study examined macroeconomic variables volatility in the Nigerian stock market. It was established that inflation rate and interest rate were volatile and moved in clusters otherwise known as volatility Clustering. It was also observed that the volatility of inflation rate and interest rate returned to the mean of the variance equation earlier than the volatility in the stock market returns take in reverting to the equilibrium. We thus, conclude that there is high and persistent volatility in the stock market returns. Inflation and interest rate was also found to have significant impact on stock market returns volatility.