The financial markets of a country are considered the barometer of the performance of an economy. The government of the country plays a major role in promoting and stabilizing the performance of its stock markets. However certain unprecedented events create disruptions in the smooth functioning of the system. COVID-19 was such a disruption that had a huge repercussion on the varied countries of the world. This study seeks to understand the impact of volatility caused in BRICS nations due to COVID-19 using GARCH and EGARCH Models. The findings show that high level of volatility and fluctuation in returns is found to be highly persistent in all five indices. The asymmetries in volatility and leverage effect have been observed in all the indices. The findings of this paper will benefit people and investors who manages portfolio and policymakers in making valuable decisions regarding the allocation of funds to portfolios, managing the risk, and also in the formulation of monetary policies.