In financial time series, the volatility clustering and asymmetry behavior is a vital fact. In this very research, we focus on the important aspects of the existence of volatility clustering and asymmetry by employing the GARCH models which include both symmetric models and asymmetric models on eight Asian emerging financial markets. This research has used log-returns of selected financial markets monthly indexes from 2009 to 2018. This study finds the existence of financial asymmetric behavior and clustering volatility in all sample financial stock markets. The study confirms that asymmetric behavior is high if volatility clustering of returns exists. On the other hand, good news impacts less compared to unfavorable news on t+1 day volatility and vice versa. This study assesses the prognostic ability of asymmetric and symmetric GARCH models and comes out that the asymmetric GARCH models are performed well in capturing the volatility clustering and asymmetric behavior than symmetric GARCH on emerging Asian financial markets.

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