Volatility transmission is a crucial price phenomenon that influences upstream production and downstream consumption in agricultural commodity markets. However, existing studies offer little evidence on how agricultural products are related to price volatility transmission along the agricultural market chain. The present study investigates the volatility dynamics in spot and futures markets of selected commodities. The time series data on monthly price of pearl millet and cluster bean required for the study was collected from the registers maintained in these selected APMCs of respective District from the year 2015-16 to 2020-21. For the period of six years viz. 2015-16 to 2020-21 monthly future and spot prices of selected agricultural commodities were collected from National Commodity and Derivative Exchange (NCDEX). We adopt ARCH and GARCH models to evaluate the time evolution of price volatility transmission. Empirical results indicate that the future price of a commodity will have a bearing on the current price. Understanding volatility gives a much better indication of the future prices than anything else. However, we find little evidence of price volatility transmission along the pearl millet and cluster bean markets. Our findings suggest that the volatility shocks in the prices of selected crops were persistent in the selected markets of crops and prices of cluster bean show more volatility than pearl millet.