This paper examines the effect of world oil price and the US factors volatility on the volatility of returns for three precious metals (gold, silver, and copper) using daily data for the period of January 2010 to April 2017. The volatility of all variables was constructed using a generalized autoregressive conditional heteroskedasticity (GARCH) approach. Next, an autoregressive distributed lag (ARDL) model was used in examining the relationship between the volatility of returns for these three metals on the volatility of world oil prices and US factors. The main results revealed that there was a cointegration relationship (long-run co-movement) between the volatility of returns (gold, silver, and copper) and the volatility of world oil price and US factors. In the long run, the volatility of the US factors was statistically significant in influencing the volatility of all metals, however the volatility of world oil price only significant to influence the volatility of silver and copper, but not the volatility of gold. In the short run, the volatility of world oil price and US factors were statistically significant in influencing the volatility of gold, whereas, for silver, all variables were significant except for the US Dollar Index. For copper, all variables were statistically significant except for world oil prices and the US Dollar Index. Therefore, these results have provided more essential information for investors, fund managers, businesses and central bankers in managing their portfolio diversification, hedging purposes, and international reserve.