Abstract: Study on volatility spillover in financial markets is important for portfolio allocation, financial risk prevention, and related policy making. The paper studies the volatility spillover effect of Chinese nonferrous futures based on multivariable GARCH-BEKK model, SHFE Copper and Aluminum as an example. Assuming that standard residuals obey normal distribution or t-distribution, respectively, and effect test of model fitting is conducted. The results show that return series of Copper and Aluminum futures have significant conditional heteroscedasticity features; the bidirectional volatility spillover relation is found between Copper and Aluminum; when standard residuals follow t-distribution, model fitting is better.