This study investigates import demand for gold traits in India specifically during the Indian festival of Dhanteras. The distribution pattern of monthly gold price realized returns are modelled by substantiating the expectation/standard deviation/volatility of the Indian gold import price series (RJD) and London gold market. As gold is purchased typically in the form of jewellery and utensils on Dhanteras, gold demand is estimated in the form of non-monetary precipitate and semi-manufactured forms of gold import in India. The effect of the gold rush in the Indian market is tested specifically during the festive season, to see the effect on London Bullion Market Association (LBMA). The dummy variable proxy to capture the effect of the gold rush during the festive season using the GJR GARCH model is highly significant. Furthermore, the Indian gold import series reflects mean reversion as tested by the Trend Stationary Process (TSP) model. Also, the intensity of price fluctuations is modelled by the ARJI GARCH and the Jump Diffusion Models. Compared to the other models, the time varying jump diffusion model provides the best results.