  Purpose: In the context of a COVID pandemic in 2020-21, this paper attempts
to capture the interconnectedness and volatility transmission dynamics. The
nature of change in volatility spillover effects and time-varying conditional
correlation among the G7 countries and India is investigated. Methodology: To
assess 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 of
volatility spillover between India and the G7 countries shift before and during
COVID-19. Findings: The findings reveal that the extent of volatility spillover
has altered during COVID compared to the pre-COVID environment. During this
pandemic, a sharp increase in conditional correlation indicates an increase in
systematic risk between countries. Originality: The study contributes to a
better understanding of the dynamics of volatility spillover between G7
countries and India. Asset managers and foreign corporations can use the
changing spillover dynamics to improve investment decisions and implement
effective hedging measures to protect their interests. Furthermore, this
research will assist financial regulators in assessing market risk in the
future owing to crises like as COVID-19.
