In the study, the price volatility relationship between wheat, cotton and corn markets was investigated and daily data for the period 02.04. 2005-11.03. 2020 were used. The VAR-Asymmetric BEKK-GARCH model, which analyzes the markets simultaneously in a single system, was chosen. Persistent long-term uncertainty in the wheat market affects the market positively. Long-term uncertainty in the cotton market creates uncertainty both in its own market and in the corn market. Persistent long-term uncertainty in the corn market creates permanent uncertainties both in its own market and in other markets, and these effects are statistically significant. Markets were more affected by long-term shocks.