Objectives: The research focuses on relationship between India VIX compared with VIX of Chicago, Brazil, China, and USA over a period of two years. This paper also determines the volatility of the stock market and the momentum change with other markets. Methods/Statistical analysis: For the purpose of the present study, secondary data is being used. The forecasting is done with the help of using Time Series Model, ARCH, Granger Causality and future forecast is done. Findings: From the study it can be found that for every change in the Brazilian stock market, the Indian Stock Market also shows a change. This means that Volatility in the Indian Market is because of the Volatility in the Brazilian market. The Jarque Bera Test is used to find the Skewness, Kurtosis, and Deviation in the data. Stationarity in the data is found out using Correlogram test. The relationship between Dependent and Independent variable is represented using ARCH Model. Application/Improvements: This is the first study to compare and contrast different stock markets to identify the effect of volatility in the stock market. © Serials Publications Pvt. Ltd.