Iranian Financial Engineering Association(IFEA) International Journal of Finance & Managerial Accounting 2588-4379 13 48 2026 01 01 Dependencies and Volatility Spillovers between Stock Markets and Futures Markets using Time-Varying Conditional Copula Models and Multivariate GARCH 61 80 24279 10.22034/ijfma.2025.78036.2192 EN Mehdi Khorramabadi Assistant Professor, Department of Accounting, Payame Noor University, Tehran, Iran. 0000-0003-2478-8376 Rezvan Pourmansouri Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran 0000-0003-3196-5836 Journal Article 2024 11 01 This study investigates dependencies and volatility spillovers between the Tehran Stock Exchange (TSE) and gold and silver futures markets using time-varying BB7 conditional copula and Dynamic Conditional Correlation (DCC) Multivariate GARCH (MGARCH) models. Analyzing daily returns of futures contracts and TSE-listed equities from 2021 to 2022, a period marked by Iran’s sanction-driven volatility, we test seven hypotheses using autoregressive moving average, vector autoregression, Granger causality, copula-based correlations, and DCC-MGARCH models. Statistical analysis was conducted with Excel 2016, R Studio 4.3.1, and Eviews 13. Results confirm ARCH and GARCH effects in gold futures and equity returns, bidirectional Granger causality between gold futures and equities, unidirectional causality from silver futures to equities, and significant positive correlations with stronger lower-tail dependence. Volatility spillovers indicate gold amplifies equity volatility, while silver stabilizes it, shaped by TSE’s low liquidity and regulatory constraints. These findings, unique to Iran’s sanction-sensitive market, suggest dynamic price-limit calibration for regulators and conditional hedging strategies for investors, enhancing risk management in emerging markets. http://www.ijfma.ir/article_24279_a768271d1f655cbf30dc6821829cae9b.pdf