Title: Procurement and predictions: analysing crude palm oil markets in India using GARCH approach

Authors: R. Supriya; Rajesh Mamilla

Addresses: VIT Business School, Vellore Institute of Technology, Vellore, 632014, Tamilnadu, India ' VIT Business School, Vellore Institute of Technology, Vellore, 632014, Tamilnadu, India

Abstract: This research investigates volatility and price discovery in India's crude palm oil (CPO) spot and futures markets, using the GARCH (1, 1) model to analyse data from the multi commodity exchange (MCX) from April 2018 to March 2022, a period impacted by COVID-19. The study reveals a strong, long-term interconnection between the spot and futures markets, characterised by error correction mechanisms. A significant finding is the R_FUTURE variable's major influence on market volatility through its impact on conditional variance. These results are vital for stakeholders like market participants, policymakers, and researchers, offering insights into the commodity market dynamics in India during a global crisis, and aiding in informed decision-making and policy development in commodity markets.

Keywords: volatility transmission; long-term relationship; price discovery; GARCH model; crude palm oil; CPO; spot and futures; India.

DOI: 10.1504/IJPM.2025.145557

International Journal of Procurement Management, 2025 Vol.23 No.1, pp.89 - 105

Received: 19 Jan 2024
Accepted: 01 Feb 2024
Published online: 04 Apr 2025 *

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