Price volatility in agricultural commodities has been a key area of interest both in the academia and policy circles. While there has been a consensus that spot prices of many agricultural commodities are influenced by futures prices and also there exist a long-run relationship between the two, the price volatility in these markets continues to be a controversial issue. The evidence is mixed as many studies have revealed that the futures prices are more volatile than the spot while others have argued the opposite. The analysis in most of the studies has been done on the basis of a few selected comodities. This paper expands the analysis by evaluating the movernent of prices based on index of all commodities being traded in the futures. Data on daily spot and futures prices have been collected from the Mufti Commodity Exchange, Mumbai. In all, trading takes place for 34 agricultural commodities under this exchange. The study begins with an analysis of cointegration and volatility between daily spot and futures agricultural price indices in India from June 2005 to December 2008. The cointegration test and GARCH model are used for the purpose. Finally, the implications obtained from the empirical analysis are drawn. 1. Key Words: commodity futures, volatility, ARCH an