<![CDATA[Volatility in the form of fluctuations in the returns of a security or portfolio in a certain period predicts risk. Volatility prediction has an essential influence on investment decision-making. This study aims to determine and study the impact of macroeconomic variables and COVID-19 on the volatility of stock returns on the Indonesia Stock Exchange (IDX). This study used a quantitative approach. The data used is monthly data from January 2017 to April 2023. The data analysis method uses multiple linear regression. Macroeconomic variables, namely interest rates, exchange rates, inflation, and Covid-19, together affect the volatility of stock returns on the IDX. Partially, inflation and interest rates have a negative and significant effect on the volatility of stock returns on the IDX. Exchange rates have a positive and significant impact on stock return volatility. The COVID-19 coefficient has a negative and significant effect, meaning that, on average, there is a difference in stock return volatility before and after COVID-19, where stock return volatility after COVID-19 is lower than before.Volatilitas berupa fluktuasi dari return– return suatu sekuritas atau portofolio dalam suatu periode tertentu memprediksi risiko. Prediksi volatilitas memiliki pengaruh yang penting dalam pengambilan keputusan investasi. Penelitian ini bertujuan untuk mengetahui dan mempelajari pengaruh variabel makroekonomi dan COVID-19 terhadap volatilitas return saham di Bursa Efek Indonesia (BEI). Penelitian ini menggunakan pendekatan kuantitatif. Data yang digunakan berupa data bulanan dari Januari 2017 hingga April 2023. Metode analisis data menggunakan regresi linier berganda. Variabel makro ekonomi yaitu tingkat bunga, nilai tukar, inflasi, Covid-19 secara bersama sama mempengaruhi volatilitas return saham di BEI. Secara parsial inflasi dan tingkat bunga berpengaruh negatif dan signifikan terhadap volatilitas return saham di BEI. Nilai tukar berpengaruh positif dan signifikan terhadap volatilitas return saham. Koefisien Covid-19 berpengaruh negatif dan signifikan, berarti secara rerata terdapat perbedaan volatilitas return saham sebelum dan setelah Covid-19, di mana volatilitas return saham setelah Covid-19 lebih rendah dibandingkan sebelum.]]>
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