Volatility Spillover and Connectedness Mapping of India Through the Financial Cycle

Abstract

For Indian asset managers and speculators to assess the volatility spillover to the Indian market, identifying connections among the G7 countries might be of tremendous assistance. Using the DYCI methodology, we gauge volatility spillover (connectedness) for the Indian market throughout the financial cycle. Utilizing conditional (rolling-sample) connectedness, we assess the total directional volatility spillover for India. Additionally, we map the volatility spillover between India and the G7 nations using pairwise directional volatility connectedness. According to our findings, India changed from being a transmitter of volatility to being a recipient of it during financial cycle upturns and downturns.