The article examines the dynamic dependence structure and risk spillover between the future market of energy commodities and Brazil, Russia, India, China and South Africa (BRICS) stock markets for different market conditions. The study used copula-based multivariate GARCH model, or in short C-MGARCH model, to explore the conditional correlation by multivariate generalized autoregressive conditional heteroskedastic (MGARCH) and the remaining dependence by different copula models. Our results provide significant positive dynamic dependency among crude oil markets (natural gas market) and BRICS stock markets. We then explore the financial implications of volatility spillovers regarding portfolio risk management through an analysis of risk spillovers from energy market to BRICS countries using the value at Risk (VaR), conditional value at risk (CVaR) and delta CVaR. Our findings support the existence of significant risk spillover between crude oil markets (natural gas market) and BRICS stock markets. The presence of volatility spillover among oil prices, natural gas prices and BRICS stock market implies that oil market information (natural gas market information) enhances the volatility forecast in stock markets. Consequently, investors must take oil markets and natural gas markets into account at the time of financial portfolios structuring and in improving their hedging strategies.