The aim of this paper is to study the volatility transmission between CO2 and energy markets. Specifically, the particular interest is to examine whether or not conditional volatility is transmitted across those markets since the start the EU ETS. It consider not only non-linearity in the variance of each series but also allow for the possibility that changes in volatility in one of the markets may spill over to the others. The results show that CO2 is directly affected by its own volatility, and directly and indirectly (through the covariance) affected by the oil and natural gas volatility. Additionally, shocks originated in the CO2 and oil markets have an impact on CO2 volatility. Finally, the behaviour of oil volatility is similar to CO2 volatility in what concerns volatility transmission but this is not the case for natural gas volatility.