In recent years, advance in technology have made it possible for the stock markets to trade in real time and also for large dataset to be available for statistical analysis. Thus, we examined the impact of macroeconomic variables on the stock returns of 114 companies listed on the Nigerian Stock Exchange Market. We have established the mathematical framework required to solve our model and perform various empir-ical analysis on the stock market data and macroeconomic variable. The formulated Macroeconomic Factor models are deployed to evaluate the effects of the macroeconomic variables on a volatile economy and Ordinary Least Square procedure are deployed to estimate the parameters of the model. We apply the model to the available data and discovered that the stock market return volatility is inuenced by the selected macroeconomic variables; Gross Domestic Product, Ination, Foreign Exchange Rate, Unemployment, Interest Rate, Price of Crude Oil and Money supply.