This thesis investigates the empirical properties of oil, natural gas and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from U.S. wholesale markets for the period from 2000 to 2012. The key contribution to the literature is the estimation of trivariate BEKK, CCC and DCC models that allow us to observe spillovers and interactions among energy markets. We evaluate the performance of each model with a range of diagnostic and forecast performance tests, and also include graphs for short- and long-term forecasts.