Air carrier EMB-XRJ Captain reported executing a go-around after encountering windshear on approach that resulted in airspeed and altitude deviations before positive control was re-established.

Narrative

We were conducting a flight from ZZZ1 to ZZZ. I was the PM (Pilot Monitoring) and the FO (First Officer) was the PF (Pilot Flying). En-route; we noticed weather along the mountain range west of ZZZ. We had discussed our intentions beforehand in the event of windshear/microburst encounter. We both had our weather radars on and proceeded cautiously. Approach Control had vectored us off our route at one point to set us up behind an inbound Aircraft Y. Eventually; Approach Control had us intercept the final approach course for Runway XXL into ZZZ. Shortly after; we noticed a reduction of 10 to 15 kts on our airspeed. Despite no windshear caution or warning on our PFD displays; the FO called missed approach; and initiated the windshear escape maneuver remaining configured until we had confidently escaped. It was on the climb out that we got a stick shaker followed by a rapid increase in airspeed. Given the high workload environment and go around initiated at roughly 1500 ft.; we flew through the ATC assigned altitude by about 700 ft. before leveling off and returning to ATC's assigned altitude. Fuel on board at this point was about 2000 lbs and we knew the safest call was returning to ZZZ1 where we were sure the weather conditions were favorable for landing. We discussed among ourselves; notified the FA (Flight Attendant); and also ATC that we would be diverting back to ZZZ1 and declared Minimum Fuel. Shortly after; I notified Dispatch via ACARs of our intentions. We continued on to ZZZ1 safely and without any undue delay. Upon landing; our fuel was about 1300 lbs.