The paper is an investigation on the impact of financial markets on the volatility of green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) of the Global Bloomberg Barclays MSCI Green Bond Index, for both the non and pandemic periods. For these purpose, after observing the dynamic joint correlations between all the variables through a DCC-GARCH, we adopt GARCH(1,1) and EGARCH(1,1) models, putting the OAS as dependent variable. Our main results show that the conditional variance parameters are significant and persistent in both times, testifying the overall impact of the other markets on the OAS. In more detail, we highlight that the gamma in the two EGARCH models is positive: so the “green” credit risk volatility is more sensitive to positive shocks than negative ones. With reference to the conditional mean, we note that if during the non pandemic time only the stock market is significant, during the pandemic also conventional bonds and gold are impacting. To the best of our knowledge this is the first study that analyzes the specific credit risk component of green bond yields: we deem our findings useful to observe the change of green bonds creditworthiness in a complex market context.