Global financial meltdowns have massive shock on different sectors as well as on scripts returns. The study empirically examines the stock returns volatility of selected NSE-listed diversified sector companies to assess their risk exposure and market behavior based on time series dataset taking into consideration of daily closing adjusted stock price from 2001-02 to 2015-16. The application of GARCH, T-GARCH and E-GARCH models provides the evidence of the persistence of time varying asymmetric volatility. The findings reveal significant variations in stock return volatility among diversified firms, influenced by market conditions, and firm-specific factors due to recent global financial meltdown which is originated from US sub-prime crisis. The study also explores the effect captured by different models show that negative shocks have significant effect on conditional volatility.