This study applies the ARMA-GARCH model to analyze the return and volatility of FTSE Bursa Malaysia KLCI, before and after the 14th General Election Malaysia (GE14). On May 9, 2018, this election was the first in Malaysian history to have the reigning party overthrown. In this scenario, we are interested in the effect of the GE14 towards the market index of Malaysia, KLCI. The sample is selected from the period May 10, 2013 until February 20, 2020. Throughout the process of model selection, we found that the ARMA(20,20)-GJR(1,1) model and ARMA(20,20)-GARCH(1,1) model with student’s t-distribution are more appropriate for our dataset. After fitting the appropriate ARMA-GARCH models to our dataset, we perform a 100-period one-day-ahead forecasts and then determine the value-at-risk for a long position of RM 1 million investment in KLCI with different confidence levels.