This　paper　modifies　the　BEKK-GARCH　model　based　on　the　empirical　results　of　the　VAR　model　to　analyze　the　dynamic　volatility　spillover　effect　between　the　European　Union　allowance　(EUA)　and　certified　emissions　reduction　(CER)　markets　during　the　second　and　third　phases　of　the　European　Union　Emission　Trading　System　(EU　ETS).　The　empirical　results　show　that　(1)　an　asymmetric　volatility　spillover　effect　exists　between　the　EUA　and　CER　markets　and　that　the　EUA　market　has　a　more　significant　volatility　spillover　effect　on　the　CER　market,　and　(2)　the　volatility　spillover　effect　between　the　EUA　and　CER　becomes　weaker　in　phase　III　since　the　European　Commission　has　limited　the　substitution　of　CER　for　EUA　more　strictly　and　the　global　carbon　reduction　requirements　have　become　less　demanding.　Our　study　can　help　investors　and　managers　of　carbon　market　to　have　a　more　comprehensive　understanding　of　the　information　and　risk　transmission　mechanism　between　the　EUA　and　CER　markets,　thus,　providing　them　with　a　basis　to　make　investment　decisions　and　formulate　policies.　(C)　2020　Elsevier　Ltd.　All　rights　reserved.