In this study volatility spillover effects in preselected cointegrated European stock markets are investigated. The data generating processes are estimated by applying Vector-Auto Regression (VAR) models. Thereby, the impacts of volatility spillovers are measured by a new concept being denoted here as Volatility Impulse Response Density Functions (VIRDF) being an advancement of the Volatility Impulse Response Functions (VIRF) methodology. A sample-split analysis covering daily data from 26.11.1990-05.10.2000 and 06.10.2000-28.05.2010 reveals that the volatility spillover impact from the German stock market to the Swedish and British stock markets have increased by 73.87%, respectively, 15.52%.