This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with different closing times. The period of analysis is 2004-2009 for corn and soybeans, and 2005-2009 for wheat. The results indicate that agricultural markets are highly interrelated and there are both own- and cross volatility spillovers and dependence among most of the exchanges. There is higher interaction between the United States (Chicago) and both Europe and Asia than within the latter. The results further show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities. Implications for potential regulatory policies of agricultural futures markets are also briefly discussed.