The name "Jehovah" means "the unchanging, eternal, self-existent God", or "the Existing One". It is derived from the four Hebrew letters YHWH. The Hebrews never used vowel sounds in their words, and these were added later by the Massorets. The name "Jehovah" is so sacred to the Jews, that they do not even pronounce it when they see it in print. Instead, they say the word "Adonai", which means "Lord". In fact, in the KJV Bible, it is translated as both "Jehovah", and as "LORD" in capital letters, as in this verse:
"Behold, God is my salvation; I will trust, and not be afraid: for the LORD JEHOVAH is my strength and my song; he also is become my salvation."
Isaiah 12:2, KJV
The short form of Jehovah is "Jah".