الفهرس 
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Abstract
Purpose: the primary purpose of the study is to determine the effect of both internal and external factors on stock returns volatility using different statistical methods, applied on Egyptian stock exchange.Methodology: the researchers have compared the accuracy of (GARCH Model, Logit Model and Neural Network) in predicting the stock return volatility to choose the most accurate one. Data was collected from the Egyptian Stock Exchange (EGYX 30) over the period (2014 to 2017) on a monthly basis.Findings: The results of the study reveal that the Neural Network Model is proven to outperform the traditional models in the prediction of stock return volatility.Originality: The study contributes to the literature through developing an original Artificial Neural Network model that helps predict stock volatility and classify this volatility into high and low. In addition, the study is applied on the Egyptian stock market using private data that focus on the stock return volatility.