This article covers how the model was created and the outcomes of using LSTM to forecast JCI (Jakarta Composite Index) volatility (Long Short-Term Memory). Using multiple hyperparameters, the LSTM models were evaluated in several different scenarios. The best model is the one with the lowest RMSPE and RMSE among all models when it comes to the performance of volatility prediction on LSTM. Based on test findings, it is discovered that LSTM models can accurately forecast JCI volatility. All of the models utilised have low RMSPE and RMSE values.