The main objective of this study is to investigate volatility spillovers between Türkiye’s credit default swap (CDS) premium, exchange rate, and gold returns. In line with this objective, daily data covering the period from 15 January 2015 to 15 November 2025 are utilized. To examine the relationships among the variables, the Constant Conditional Correlation (CCC)–GARCH model, one of the multivariate GARCH approaches, is employed. Prior to the implementation of the CCC–GARCH model, stationarity tests are conducted for all variables. The results indicate that all variables are stationary at their level values.

According to the findings obtained from the CCC–GARCH model, no volatility spillover is detected from gold returns to the CDS premium. Similarly, there is no evidence of volatility transmission from the CDS premium to gold returns. However, a bidirectional volatility spillover is identified between the CDS premium and the exchange rate. This finding suggests that the CDS premium and the exchange rate mutually influence each other in terms of volatility dynamics.