Abstract: Environmental, social, and governance (ESG) criterion is gaining immense importance among investors while evaluating the companies for investment. Companies screened for their superior performance in ESG parameters comprise the sustainability index introduced at national stock exchanges. This study compares the volatility and returns of the sustainability index of India with its corresponding broad market index. This paper aims to analyze the inherent conditional volatility using generalized autoregressive conditional heteroscedasticity (GARCH) models. We examine descriptive statistics, normality, stationarity, volatility clustering and correlation among the two indexes for the twelve-year period ranging from January 2011 to December 2022. Results indicate higher returns being generated by the sustainable investment options as compared to their traditional counterparts, being an effective replacement for the latter. The study highlights the importance of focusing upon ESG parameters by investing in sustainable investment avenues and not foregoing any financial returns. Hence, financial and investment managers can gain additional understanding when making decisions about investments. We also recommend that managers take into account both indexes in their portfolios in order to diversify risk and hedge against it. Keywords: Volatility, Sustainability Index, ESG Investing, Sustainable and Responsible Investment strategies, Socially Responsible Companies, Volatility Clustering, GARCH Model