Iranian Financial Engineering Association(IFEA) International Journal of Finance & Managerial Accounting 2588-4379 13 48 2026 01 01 Investigating the volatility spillover of macroeconomic variables in the Iranian capital market with the multivariate GARCH approach 175 192 24284 10.22034/ijfma.2025.77910.2184 EN Behnaz Noroozi Department of Economics,SR.C.,Islamic Azad University,Tehran,Iran. Hamidreza Kordloee Department of Financial Management,SR.C.,Islamic Azad University,Tehran,Iran. Abbas Memar Njad Department of Economics,SR.C.,Islamic Azad University,Tehran,Iran Journal Article 2024 09 30 The purpose of this article is to investigate the spillover of volatility of macroeconomic variables in Iran's capital market with the multivariate GARCH approach. Macroeconomic variables include inflation rate, exchange rate, oil price, gold coin price and GDP. Understanding the volatility spillover of macroeconomic variables in the capital market provides important information on the efficiency level of the capital market. In an efficient market, the risk and return of an asset should not be predicted based on the risk and past returns of other assets. For this purpose, monthly data from Farvardin 1386(March 2007) to Esfand 1402 (March 2024) and multivariate GARCH method with BEKK specification have been used to test the hypotheses. The results show that except for the interest rate, there is a significant relationship between the volatility of macroeconomic variables and the total stock market index; Therefore, the spillover of volatility of macroeconomic variables on Iran's capital market is confirmed, which shows the need to pay attention to the stability of economic policies in order to create stability in the capital market. volatility spillover, macroeconomic variables, total stock index, multivariate GARCH approach http://www.ijfma.ir/article_24284_cd370abf1cf7faf99da5daec760de425.pdf