Stock returns volatility of daily closing prices of the Uganda Securities Exchange(USE) all share index over a period of 04/01/2005 to 18/12/2013 is Modelled. We employ different univariate Generalised Autoregressive Conditional Heteroscedastic(GARCH) models; both symmetric and asymmetric. The models include; GARCH(1,1), GARCH-M, EGARCH(1,1) and TGARCH(1,1). Quasi Maximum Likelihood(QML) method was used to estimate the models and then the best performing model obtained using two model selection criteria; Akaike Information criterion(AIC) and Bayesian Information criterion(BIC). Overall, the GARCH(1; 1) model outperformed the other competing models. This result is analogous with other studies, that GARCH(1; 1) is best.