This study estimates the volatility and mean spill over effect of exchange rate, stock prices, and interest rate of Pakistani and three Asian countries Bangladesh, Sri Lanka and India. Monthly data are used from 2004-1 to Nov, 2015-12. The whole data set is used for modelling of time varying volatility of stock markets. Univariate GARCH type models i.e. GARCH and GJR are employed for spill over effect modelling of Pakistani and leading foreign stock markets. The residual analysis also employed to check the validity of models. This study brings important conclusions for financial institutions, portfolio managers, market players and academician to diagnose the nature and level of linkages between the financial markets and also we found that there is spill over effect with India and variance spill over effect with south Asian countries. Supervisor:- Dr. Atiq Ur Rahman