In this research, an attempt has been made to test the Foreign Institutional Investments on Stock return of selected Banking companies listed in BSE. The empirical analysis has been done by using Autoregressive conditional Heteroskedasticity model (ARCH), generalized autoregressive conditional Heteroskedasticity (GARCH) model and ARCH is mean model and it is based on monthly data for the time period from April 2007 to August 2016. The analyses expose volatility between foreign institutional investments and stock return of selected banking companies listed in BSE such as State Bank of India, HDFC Bank Ltd, ICICI Bank Ltd, Axis Bank Ltd, Kotak Mahindra Bank Ltd, Bank of Baroda, Punjab National Bank, Indusind Bank Ltd, Bank of India and Canara Bank. The GARCH (1, 1) model is determined for FIIs and Stock return of banking companies. The study concludes that Foreign Institutional Investments are influencing the stock return of selected banking companies and also the result reveals that GARCH (1, 1) model satisfactorily explains volatility and is the most appropriate model for explaining volatility clustering of the series.