The ability to identify the volatility spillover between assets has many applications in macroeconomics and finance. The Knowledge of spillover, for investors, improves the prediction of volatility and can be used in asset pricing, too. Similarly, the effect of the spillover may show the transfer of information and help to design the conditional hedging ratio. The present study, using GARCH-BEKK approach, investigates the effect of volatility spillover between crude oil, gasoline and diesel fuel markets. Therefore international daily spot prices of these products during 2000 – 2012 are used. The results show that the spillover effect in energy markets are statistically significant. Except the shock spillover from gasoline and diesel markets to crude oil and the shock spillover effect from diesel fuel to crude oil, The other shock spillovers and volatility spillovers are significant at the 99 percent level