<p>Volatility prediction has an important influence on investment decision making. If predicted high volatility, investors will leave the market or sell assets in their portfolios to minimize risk. The purpose of this research after the formation of optimal portfolios with the lowest risk basis is also to find out how the behavior of Portfolios in Indonesia, is associated with Portfolios that provide the lowest risk level and a certain level of return using the Autoregression AR (1), GARCH (p, q) and GARCH-M. The portfolio is formed from the optimal value based on the smallest risk and certain returns, on 50 selected issuers representing nine sectors in the stock market, for a span of 9 years starting from 2008 to 2016, using purposive sampling derived from 336 issuers with complete price data, continued with portfolio return modeling with AR (1), GARCH (1,1) and GARCH-M. Autoregesi. Finding 12 Indonesian issuers in one portfolio, in which a combination of issuers that provided the smallest risk with a certain level of return and became an Optimal portfolio, which over a combination of 6 industrial sectors, results obtained Conditonal mean and conditional variance on portfolio returns in Indonesia where with the AR model (1) portfolio J is the most significant, with the GARCH (1.1) and GARCH-M models obtained portfolio models G has a good model according to SIA, AIC and HQ criteria while portfolio D model has predictive accuracy the best modeling. So that it can be a model for investors in choosing the optimal type of portfolio investment.</p>