This study aims to measure the impact of Covid-19 on the volatility of stock market in Bangladesh. It considers daily data of Dhaka Stock Exchange Broad Index (DSEX) as dependent variable and growth rate of exchange rate and Brent oil price as independent variables while death case due to coronavirus as Covid-19 proxy. This study observes significantly negative impact of Covid-19 on the volatility. It is expected that the recommendations of this study may ensure a stable and vibrant capital market to enhance the economic progress of Bangladesh