U.S. Treasury bill and Eurodollar futures are employed to investigate volatility spillovers between U.S. and Eurodollar interest rates. The paper shows that both interest rates follow a GARCH process but they do not share a common volatility factor. A bivariate EGARCH model that allows for the asymmetric volatility influence of the interest rate differential between markets (the TED spread), as well as that of the domestic market, is used to analyze the volatility spillovers between markets. Results show that the lagged TED spread change is the driving force of the volatility process.