Price volatility is a major issue in liberalized electricity markets as far as risk management is concerned. In this paper we evaluate the impact of the Portuguese and Spanish electricity markets integration on the day-ahead market price volatility. For that purpose we develop an adaptive conjectural variations model which is implemented in GAMS language. We estimate the degree of competition in the Spanish pool using an iterative secant method applied to a conjectural variations oligopoly model. Using the estimate obtained, we simulate the Portuguese and Spanish markets in autarky and the integrated market, known as the Iberian Electricity Market (IBELM). We present conclusions on the impact of the IBELM on prices and volatilities from the Portuguese and Spanish markets point of view.