[Tujuan dari penelitian ini adalah untuk melihat pengaruh perubahan sukubunga beserta volatilitasnya terhadap return indeks syariah di Indonesia. Dalampenelitian kali ini akan dibentuk sebuah indeks syariah baru dengan menggunakankriteria penyaringan saham syariah yang lebih ketat dibandingkan yang digunakanoleh ISSI dan JII saat ini untuk melihat isu shariah compliance. Metode yangdigunakan adalah metode regresi OLS. Perubahan suku bunga dilihat dari deltaperubahan suku bunga sedangkan volatilitasnya dimasukkan dari variabel CIV(conditional of interest rate volatility) yang didapatkan dari model GARCH(1,1)suku bunga jangka pendek dan jangka panjang. Hasil penelitian menunjukkanbahwa indeks syariah terbukti imun terhadap risiko suku bunga jangka pendek.Selain itu, indeks syariah baru yang dibentuk mampu memberikan kinerja yanglebih baik dari kedua indeks syariah yang sebelumnya sudah ada.;The objective of this paper is to see the effect of the changes in interestrate and their volatility against the index shariah return in Indonesia. In this studywill be formed a new Islamic index using screening criteria that more stringentthan that used by ISSI and JII today to see the issue of shariah compliance. Themethod used is OLS regression method. Changes in interest rates seen from thedelta interest rate while the volatility included in the CIV (conditional of intersetrate volatility) variable. CIV obtained from GARCH (1,1) of interest rate. Theresult show that the shariah index proved to be immune to the short-term interestrate risk. In addition, the new Islamic index is able to provide better performancethan both shariah indices that previously existing.;The objective of this paper is to see the effect of the changes in interestrate and their volatility against the index shariah return in Indonesia. In this studywill be formed a new Islamic index using screening criteria that more stringentthan that used by ISSI and JII today to see the issue of shariah compliance. Themethod used is OLS regression method. Changes in interest rates seen from thedelta interest rate while the volatility included in the CIV (conditional of intersetrate volatility) variable. CIV obtained from GARCH (1,1) of interest rate. Theresult show that the shariah index proved to be immune to the short-term interestrate risk. In addition, the new Islamic index is able to provide better performancethan both shariah indices that previously existing.;The objective of this paper is to see the effect of the changes in interestrate and their volatility against the index shariah return in Indonesia. In this studywill be formed a new Islamic index using screening criteria that more stringentthan that used by ISSI and JII today to see the issue of shariah compliance. Themethod used is OLS regression method. Changes in interest rates seen from thedelta interest rate while the volatility included in the CIV (conditional of intersetrate volatility) variable. CIV obtained from GARCH (1,1) of interest rate. Theresult show that the shariah index proved to be immune to the short-term interestrate risk. In addition, the new Islamic index is able to provide better performancethan both shariah indices that previously existing., The objective of this paper is to see the effect of the changes in interestrate and their volatility against the index shariah return in Indonesia. In this studywill be formed a new Islamic index using screening criteria that more stringentthan that used by ISSI and JII today to see the issue of shariah compliance. Themethod used is OLS regression method. Changes in interest rates seen from thedelta interest rate while the volatility included in the CIV (conditional of intersetrate volatility) variable. CIV obtained from GARCH (1,1) of interest rate. Theresult show that the shariah index proved to be immune to the short-term interestrate risk. In addition, the new Islamic index is able to provide better performancethan both shariah indices that previously existing.]