This study investigates the impact of stock market cycles on the volatility of Asian markets. It specifically addresses the combined effect of jumps, asymmetry and stochasticity while predicting the market volatility. Our results indicate that the stochastic volatility process is highly persistent across the countries. Leverage effect, size and frequency of jumps are found to be significant and play a prominent role in computing market volatility. The empirical results imply that the stochastic volatility model embedded with the jump and asymmetric component significantly helps in measuring volatility especially during the turbulent periods. Our results have major implications for policy makers, regulators, mutual funds, hedge funds as well for other institutional investors.