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Purpose: In the context of a COVID pandemic in 2020-21, this paper attemptsto capture the interconnectedness and volatility transmission dynamics. Thenature of change in volatility spillover effects and time-varying conditionalcorrelation among the G7 countries and India is investigated. Methodology: Toassess the volatility spillover effects, the bivariate BEKK and t- DCC (1,1)GARCH (1,1) models have been used. Our research shows how the dynamics ofvolatility spillover between India and the G7 countries shift before and duringCOVID-19. Findings: The findings reveal that the extent of volatility spilloverhas altered during COVID compared to the pre-COVID environment. During thispandemic, a sharp increase in conditional correlation indicates an increase insystematic risk between countries. Originality: The study contributes to abetter understanding of the dynamics of volatility spillover between G7countries and India. Asset managers and foreign corporations can use thechanging spillover dynamics to improve investment decisions and implementeffective hedging measures to protect their interests. Furthermore, thisresearch will assist financial regulators in assessing market risk in thefuture owing to crises like as COVID-19.

Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19