Volatility Spillovers in Indian Commodity Markets: Empirical Evidence from the MGARCH Model

The purpose of this research is to examine how volatility spillover operates in Indian agricultural spot and futures markets. The MGARCH-BEKK model for Multivariate Generalized Autoregressive Conditional Heteroscedasticity, Baba, Engle, Kraft, and Kroner was employed in this investigation. To investigate the spillover effects of five of the most liquid agricultural commodities traded on the National Commodity and Derivatives Exchange (NCDEX) and Multi-Commodity Exchange (MCX). Futures and spot markets have mutual spillover effects, according to the MGARCH Volatility test results. The volatility spillovers between spot and futures of jeera indicate that own spillovers are present and are more in the case of spot, both in the long term and short term. The cross-market volatility spillovers are more from spot to future in the short term and long term. As a result, one might argue that the Indian futures market is more effective in deciding agricultural commodity prices. These insights can help market players hedge risk and policymakers design futures contracts to improve the efficiency of the agricultural commodity derivatives market.