If you want to find the volatility transmition between some series, you should use a volatility spillover GARCH model. MGARCH-DCC or BEKK-MGARCH.

A volatility transmitter market (or asset) is one from which volatility spills over to other markets (assets). Naturally, the latter is a receiver. Refer to Fernandez-Rodriguez et al. (2015) for easy examples. Also, if the topic interests you, be sure to check out Diebold-Yilmaz's seminal work. If you want more cutting-edge stuff, check out Barunik-Krehlik (2018). The latter is a modern classic!

thanks brother and sister

The volatility transmission is seen to be closely associated with the crisis period and geographical proximity. A lower and upper quantiles analysis shows that interdependence between markets decreases during a bearish trend, while it increases during bullish markets.