In this paper, an attempt has been made to determine the forecasting performance of symmetric and asymmetric volatility forecasting models in terms of error estimators using the intra-day of highly liquid stocks in the Indian stock market. Superiority of forecasting performance of asymmetric GARCH model over symmetric model has been established. Mathematics Subject Classification: 62H12, 62H30 Keywords : Volatility forecasting, Conditional Variance, Symmetric and Asymmetric GARCH models, Error Statistics.