Abstract: The purpose of this paper is to investigate the impact of macroeconomic factors on the JCI’s stock return volatility in pre and post the 2008’s global economic crisis (2002-2014). International macroeconomic variables used in this study are Dow Jones Industrial index and gold price, while the domestic macroeconomic variables used are the exchange rate, interest rate and inflation rate. This study uses the ARCH-GARCH method to see the effect of macroeconomic variables on JCI’s return volatility. Based on the results of this study, it is found that two variables, namely DJI and the exchange rate have significant positive effect on JCI’s return volatility, while three variables which are gold price, interest rate and inflation have no significant effect on JCI’s return volatility.