This study considers the impact of sudden changes on volatility spillover effect in Japanese financial markets, the Japanese Yen (JPY) and Nikkei 225 index. Specifically, we examine the degree of volatility transmission allowing for sudden changes in variance. An iterated cumulative sums of squares algorithm is used to identify the time points at which sudden changes in volatility occurred, and the results are incorporated into the bivariate GARCH-BEKK framework with and without sudden change variables. The degree of persistence of volatility was reduced by incorporating these sudden changes into the volatility model. In addition, our results indicate that ignoring sudden changes might overestimate the degree of information inflow and volatility transmission between Japanese financial markets. Consequently, accounting for sudden changes reduces volatility persistence and removes the volatility spillover effect in Japanese financial markets.