Zebrafish are gaining momentum as a laboratory animal species for the investigation of several functional and dysfunctional biological processes. Mathematical models of zebrafish behaviour are expected to considerably aid in the design of hypothesis-driven studies by enabling preliminary in silico tests that can be used to infer possible experimental outcomes without the use of zebrafish. This study is motivated by observations of sudden, drastic changes in zebrafish locomotion in the form of large deviations in turn rate. We demonstrate that such deviations can be captured through a stochastic mean reverting jump diffusion model, a process that is commonly used in financial engineering to describe large changes in the price of an asset. The jump process-based model is validated on trajectory data of adult subjects swimming in a shallow circular tank obtained from an overhead camera. Through statistical comparison of the empirical distribution of the turn rate against theoretical predictions, we demonstrate the feasibility of describing zebrafish as a jump persistent turning walker. The critical role of the jump term is assessed through comparison with a simplified mean reversion diffusion model, which does not allow for describing the heavy-tailed distributions observed in the fish turn rate.