The present study has tried to explore a few stylized facts regarding the volatility of daily returns of S&P CNX NSE NIFTY. Highly significant JB statistic confirms that the return series is not normally distributed. Moreover, clear evidence of volatility clustering could be observed during the study period. Furthermore EGARCH (1, 1) model has been used to compute conditional variance of the NIFTY daily returns of the sample period. The empirical results confirm that above model is a good fit and it clearly indicates that volatility in NSE persists over a long period. The empirical results establish that news asymmetry and Leverage Effect are present in this market. Finally, it has been clearly established that the recent sub-prime crisis has significant effect on the daily returns and volatility of S&P CNX NSE NIFTY.