The main objective of this article is to analyze and compare the impact of political uncertainty and financial crises on stock market volatility in 10 MENA countries over the period 2005–2018. To test our hypothesis, a variety of GARCH models are used. The results indicate that political events have more significant effect than financial crises on stock market volatility, as we detect an increase in market volatility during political elections and terrorist attacks. The comparative tests employed to identify the best GARCH model in capturing stock markets volatilities reveal that GARCH/EGARCH models perform the best in our study. EGARCH model is more suitable during unpredictable events while GARCH model work well during predictable events. Additionally, we found that the reaction of investors is not similar during the three events studied. In fact, terrorist attacks admit a more significant effect than political election periods. We observed that the reaction of the stock market during expected events is not instantaneous, whereas it is instantaneous during unexpected events. Overall, our findings are of great significance for investors and market regulators in understanding the role of major events on stock market stability, particularly in MENA region.