This study examines the influence of global market volatility, measured by the CBOE Volatility Indices (VIX and VXO), on Türkiye’s five-year Credit Default Swap (CDS) premiums. The analysis, covering VIX data from February 28, 2008, to November 27, 2024, and VXO data from February 28, 2008, to August 30, 2021, utilizes advanced econometric techniques, including multivariate GARCH models and the causality in variance test. The results reveal a significant and time-varying correlation between Türkiye's CDS premiums and global volatility indices, particularly during times of heightened market uncertainty, such as the 2008 Global Financial Crisis and the 2020 COVID-19 pandemic. The study highlights the critical role of global financial conditions in shaping fluctuations in Türkiye's CDS premiums, emphasizing the interconnectedness between sovereign credit risk and global volatility during crises. The use of second-moment causality analysis provides deeper insights into how volatility shocks transmit, revealing asymmetric effects on CDS premiums. Overall, the research underscores the growing importance of global financial volatility as a determinant of sovereign credit risk for emerging markets like Türkiye, with implications for both policymakers and investors in managing risk during periods of instability.