Futures markets play a vital role in managing risk and improving price stability in the commodity market. While few commodities have futures contracts that promote direct hedging, the majority of them rely on alternative strategies like cross-hedging for risk reduction. Whether these strategies promote meaningful risk reduction, particularly in an emerging market like India, is still unclear. The present study examines the effectiveness of cross-hedging for selected agricultural commodities by assessing whether spot price variances are mitigated by commodity futures or commodity futures of related and unrelated commodities. The study uses a Diagonal BEKK GARCH framework to analyse weekly data from 2016 to 2021 collected from MCX, NCDEX, and NSE to estimate optimal hedge ratios and hedging effectiveness. The findings show that the cross-hedging strategy mostly involves low hedging costs, but its ability to reduce risk is limited across cross-hedging alternatives. Futures contracts on related commodities do not outperform commodity index futures in most cases because the co-movement of price between spot and futures markets is unstable and weak. The results suggest that the cross-hedging strategy cannot be considered a close substitute for direct hedging in the Indian market under normal conditions. The study extends the literature on commodity risk management and suggests useful insights for investors, hedgers, and policymakers who seek practical alternatives when direct commodity futures contracts are unavailable.