Title:Volatility Spillover Effects In Spot, Futures And Option MarketsYear: 2020

Authors: Shailesh Rastogi, Anish Agarwal
Journal: TEST Engineering & Management
Publication date: 2020 May/June
Publisher: TEST Engineering & Management
URL: click here


The aim of the paper is to find the volatility spillover effects across spot, futures and option markets. The NIFTY 50 index is taken into observation. The study period is from January 8, 2010 to October 25, 2019. The main findings of this paper are: a bidirectional volatility spillover effect is found between spot and futures market and is a bit stronger from spot side; no volatility spillover was found between spot and options market in which both call and put contracts are considered; a unidirectional shock volatility spillover was reflected from futures to call options contract but there were no price volatility spillover effects across these markets. Bivariate BEKK-GARCH model was implemented to find the volatility spillover effects among these markets. Later CCC-GARCH model was used to find the close proximity between the markets to check the robustness of our volatility spillover results obtained from bivariate BEKK-GARCH and the results from CCC GARCH supports the BEKK-GARCH results.