The pandemic had an impact on human lives as well as the wealth of investors across the world. However, the impact is not uniform throughout all the sectors. The major indicator of the investors is represented by the National Stock exchanges. All the industrial sectors are not affected in the same way. The automobile industry, the banking industry, the information technology industry and the pharma industry are the major industries affected. These indices of NSE are considered for the study. The objectives of the study are to analyze data of the NSE Auto, IT, Pharma & Banking sector in the pre-covid & post-covid periods, to perform ARMA (1,1), Correlogram Q statistics & Correlogram Squared residual statistics for the selected four indices, to perform Heteroskedasticity Test and to check ARCH effect and finally to develop GARCH Family models for the volatility of selected NSE sectoral indices. For the study, secondary data from the NSE is used for the study. From the study it was found that even though all the mentioned sectors are highly volatile and move in clusters. After doing the data analysis, it was suggested that the IT and automobile sectors are more suitable for risk-averse investors and volatility will be there for longer periods of time in the pharma sector. It is concluded that all the above sectors are suitable for the investment purpose.