The volatility spillover tells about the extent of the integration between different markets. In this study an effort has been made to analyse the integration and interrelationship among the capital market, currency market and commodity market in India through the volatility spillover frame work by using AR (1)-GARCH (1,1) approach. This study differentiates from the earlier studies by including all three segments of the markets. The study found out that the volatility spillover from currency markets and commodity markets to capital markets.Likewise the volatility spillover from capital market to currency markets and there is no spillover from commodity market to currency markets. In case of commodity market there is no evidence of volatility spillover.