This paper examines the performance of different kind of GARCH models with Gaussian, Student-t and generalized error distribution for Colombo Stock Exchange (CSE), in Sri Lanka. Analyzing the daily closing price index of CSE from January 02, 2007 to March 10, 2013. It was found that the Asymmetric GARCH models give better result than symmetric GARCH model. According to distributional assumption these models under Student-t as well as generalized error provided better fit than normal distributional assumption. The Non-Parametric Specification test suggest that the GARCH, EGARCH, TARCH and APARCH models with Student-t distributional assumption are the most successful model for CSE.