This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrial, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995 to May 2008; the aim is to analyze market relationships before the global financial crisis. We first determine when large changes in the volatility of each market returns occur by identifying major global events that would increase fluctuations in these markets. The Iterated Cumulative Sums of Squares (ICSS) algorithm was used to identify the existence of structural breaks or sudden changes in the variance of returns. In each market the standardized residuals were obtained through the GARCH(1,1) mean equation. Our main results identify a clear relationship between precious metals returns and oil returns, while the interaction between precious metals and stock returns seems to be an independent one in the case of gold with mixed results for silver and platinum. In relation to volatility persistence, the results show clear evidence of high volatility persistence between these markets, especially during times when markets were affected by excessive volatility due to economic and financial shocks. © 2012 Springer Science+Business Media, LLC.