This chapter first reviews the relevant literature on volatility forecasting in energy markets. Specifically, we summarize the alternative energy markets, the alternative volatility frequencies, and their benchmark forecasting models, as well as the existing predictive variables and forecasting models. Following this, we examine the predictability of daily volatility, monthly volatility, and long-term volatility based on the heating oil, crude oil, and natural gas markets. The empirical results indicate that daily and monthly volatility in energy markets are predictable both in-sample and out-of-sample. Different energy markets exhibit varying levels of predictability and short-term predictability is higher than long-term predictability.