Banking sector is the backbone of Indian economy, when it comes to share market it is not only a fruitful avenue for investment but also is ‘volatile’. Banking sector has shown a robust growth in the recent years. Like any other sector, investments in banking stocks isalso subjected to risk as it is the most sensitive sector, always affected by the changing financial policies of the country. This paper makes an attempt to analyze the risk and return of the five selected bank stocks using GARCH (1, 1) model worked out byTim Bollerslev. The results showed an arch effect on the daily return during the period 2010 to 2013. The study also revealed the persistence of volatility for a long periodamong the selected bank stocks