VOLATILITY SPILLOVER IN THE SPOT AND THE FUTURES MARKETS OF CRUDE OIL: EMPIRICAL EVIDENCES IN INDIA AFTER THE OUTBREAK OF CORONAVIRUS (COVID-19)

Abstract

Oil price fluctuations have always remained as a key concern for the policy makers. This study has been conducted after the outbreak of COVID-19 pandemic considering daily data relating to the spot and the futures prices and trading volume in the futures market of crude oil in India. Applying the auto regressive conditional heteroskedasticity model, it is found that the trading volume in the futures market spills over the volatility to the spot prices and there has been a bidirectional volatility spillover between the spot and the futures prices of crude oil during the period of study.