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The study attempts to identify the market volatility and excess absorption in the other financial markets. The study duration was ten years from 2014 to 2024. Using the different econometric approaches like ARIMA, GARCH and fills the existing research gap identified from the existing reviews. The ARIMA model address the linear dependencies and GARCH helps to identify the volatility dynamics. The study gives the deeper understanding the spill-over effects on the geo-political circumstances. The study also identified the market behaviour and volatility dynamics.

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Volatility Spillover Effects Between Indian Spot and Derivatives Markets: An Arima-Garch Approach

  • 章节

  • 发表日期：

    2026年

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  • R. Haribaskar,
  • A. Thamotharan

摘要

The study attempts to identify the market volatility and excess absorption in the other financial markets. The study duration was ten years from 2014 to 2024. Using the different econometric approaches like ARIMA, GARCH and fills the existing research gap identified from the existing reviews. The ARIMA model address the linear dependencies and GARCH helps to identify the volatility dynamics. The study gives the deeper understanding the spill-over effects on the geo-political circumstances. The study also identified the market behaviour and volatility dynamics.