This paper aims to investigate the volatility behavior of Islamic stock indexes compared to their conventional counterparts. Four major Islamic stock indexes have been the subject of our paper namely the Standard and Poor’s Shariah index (S&P Shariah), the Dow Jones Islamic Market (DJIM) index, the FTSE Islamic index, the MSCI Islamic World as well as their conventional counterparts, respectively, the S&P 500, the Dow Jones Industrial Average (DJIA), the FTSE All world, and the MSCI World Indexes. GARCH models (Generalized Autoregressive Conditional Heteroscedastic) are used to estimate the conditional variance, particularly the Exponential GARCH model due to its ability to capture the leverage effect and leptokurtosis as the main stylized facts usually observed in financial times series. GARCH models are used also with Gaussian and non-Gaussian distribution in order to take into account the thick tails of daily data distribution. The results reveal that Islamic stock indexes were significantly affected by the financial crisis but they were less volatile than their conventional counterparts. This finding confirms the relative resilience of Islamic indexes to the global financial crisis, which has affected the Islamic finance as soon as the crisis has affected the real sector of the economy.