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Research Article Open access CC BY 4.0

Volatility Spillover Effect of NCDEX Spot and Futures Prices in Spices

Arpit Joshi, Manish K. L., M. S. Ganapathy, Channaviragouda

Journal of Experimental Agriculture International · pp. 446–453 · Published 3 Sep 2024

10.9734/jeai/2024/v46i92842

Abstract

This research is an attempt to assess the volatility in spot and futures prices in spices on NCDEX. Spot price and futures price Volatility is prominent indicators of the commodity futures market to protect the interest of beneficiaries and to hedge sharp price fluctuations in commodity markets. The study tested price patterns using data with 1777 observations for FY2015 to FY2022 daily spot and futures price series of near month contracts. VECM test and EGARCH were computed to examine spot and futures prices for three selected spices, namely jeera (cumin), turmeric and coriander. The results revealed that Turmeric and Coriander had significant bidirectional relationship and Jeera had significant unidirectional relationship between futures and spot market prices. Higher half-life (days) values of futures prices indicates more stability than spot prices of selected spices. Higher asymmetric effect value of spot market indicates higher volatility impacts because of noisy shocks than futures market.

Spot price futures price commodity futures trading relationship volatility spillover spices

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