author(s)
Sachin and Sushila Kumari Soriya

abstract
This study analyzed the long-run and short run relationship among global uncertainty indices OVX, GVZ, and EVZ with the volatility indices of BRICS nations, offering strong evidence of diverse transmission mechanisms among these rising economies. To serve the purpose of the study, daily closing prices are used for the respective Volatility Index, namely, Brazil (VXEWZ), Russia (RVI), India (IVIX), China (VHSI), and South Africa (JSAVI), Oil volatility index (OVX), Gold Volatility Index (GVZ) and Euro Volatility Index (EVZ). The findings demonstrate that OVX, GVZ, and EVZ long-run cointegration for Brazil, India, China, and South Africa at the 1% significance level, but the findings for Russia remained indeterminate. The aggregate count of observations for each series is 1033 and data has been obtained from investing.com. This study enhances the literature by illustrating that, despite their integration with global markets, BRICS economies exhibit varied responses to volatility shocks due to their distinct structural and financial connections, thus providing significant insights for policymakers, investors, and risk managers in formulating hedging and diversification strategies.