The study examines the relative contributions of stock market volatility on economic growth in Nigeria for the periods of 1980 to 2010 using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH). The study reveals that the volatility shock is quite persistent in Nigeria and this might distort growth of the economy. In the light of the above, the study recommends that for the stock market to be less volatile, Securities and Exchange Commission (SEC) itself should be strengthen both in terms of number of manpower and quality of the professionals involved with special focus on independent research, monitoring mechanism and prompt decision making. Keywords: Volatility, Stock Market, Economic Growth, Arch and Egarch.