Modelling volatility in financial asset prices is very important for investment decisions and risk management. It is known that, political risk has a negative effect on stock returns. Especially, markets in which political risk increased, investment decisions change based on the changes that occur in financial asset returns. On the other hand, investors react more to negative shocks than to positive shocks. In this context, for a healthy investment policy, it is very important to make decisions having regard to the variance breaks that occur because of the political risk. In the study, firstly, breaks in unconditional variance of Borsa Istanbul (BIST) sub-sector index returns are detected with Modified Iterated Cumulative Sums of Squares Method. In the sequel, political events are determined among all the events that cause breaks in variance. Finally, by using threshold autoregressive conditional heteroskedasticity (TARCH) model, it is tested that if political events that cause breaks in variance, cause asymmetry and leverage effect in volatility of sub-sector returns or not. According to the results, it is concluded that political risks that cause breaks in variance, cause asymmetry and leverage effect on return volatility of XKAGT, XTAST, XMANA and XMESY sub-sectors.