Motivated by the current context of high and volatile energy and food prices, we examine the conditional variance-covariance matrix dynamics and price discovery process characterising European vegetable oils. In addition to outcomes differences using daily or monthly datasets, we find that both the marginal distributions and volatility dependence structures relate to distinct economic fundamentals. The energy price mainly influences the vegetable oil trend component, and stock-to-use ratios are crucial for variance-covariance dynamics once their particular cold filter plugging point is considered. This latter point also reveals interesting interplays among vegetable oils according to the economic concepts of complementarity and substitutability.