International Journal on Science and Technology

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Macroeconomic Determinants of Long-Run Volatility in Indian Agricultural Commodity Futures: A GARCH-MIDAS Analysis

Author(s) Dr. Dhanya Babu V, Dr. Noushad K K
Country India
Abstract This study examines whether macroeconomic conditions explain the long-run volatility of selected agricultural commodity futures in India. Daily futures-price data for castor seed, mustard seed, soybean, maize and sugar are analysed from January 2010 to December 2021. The GARCH-MIDAS framework separates short-run volatility generated by daily market movements from long-run volatility associated with lower-frequency macroeconomic information. The explanatory variables comprise the Consumer Price Index, Industrial Production Index, short-term interest rate, stock-market index and exchange rate. The reported estimates indicate volatility persistence and show that macroeconomic effects are heterogeneous rather than uniform. Inflation is predominantly negatively associated with long-run volatility, whereas industrial production, interest rates, stock-market conditions and exchange-rate movements display commodity-specific effects. Castor seed is particularly responsive to exchange-rate and stock-market conditions; mustard seed and soybean show sensitivity to monetary and financial-market factors; and maize and sugar exhibit comparatively strong but directionally different responses to interest-rate, exchange-rate and industrial-production movements. These findings suggest that agricultural commodities should not be treated as a homogeneous asset class. Commodity-specific macroeconomic information can improve volatility assessment and support hedging, risk-management and policy decisions in India’s agricultural futures market.
Keywords Agricultural commodity futures; GARCH-MIDAS; long-run volatility; macroeconomic determinants; India
Field Mathematics > Economy / Commerce
Published In Volume 17, Issue 3, July-September 2026
Published On 2026-08-12
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Crossref DOI prefix of IJSAT is 10.71097/IJSAT

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