In the area of financial stock market forecasting, many studies have focused on application of Artificial Neural Networks (ANNs). Due to its high rate of uncertainty and volatility, the stock markets returns forecasting by conventional methods became a difficult task. The ANNs is a relatively new and have been reported as good methods to predict financial stock market levels and can model flexible linear or non-linear relationship among variables. The aim of the study is to employ an ANN models to estimate and predict the dynamic volatility of the daily of S & P500 market returns. Results of ANN models will be compared with time series model using GARCH family models. The use of the novel model for conditional stock markets returns volatility can handle the vast amount of nonlinear data, simulate their relationship and give a moderate solution for the hard problem. The forecasts of stock index returns in the paper will be evaluated and compared, considering the MSE, RMSE and MAE forecasts statistic.