Integrating energy islands into the European electricity market is a key challenge for the energy transition. This study investigates the impact of the Sorgente-Rizziconi interconnector on electricity price volatility in Sicily. Before its commissioning on 28 May 2016, the Sicilian electricity market zone was poorly interconnected with the Italian mainland. Using daily data from 2015 to 2018, the analysis applies a semi-parametric GARCH model with a logistic intervention function to estimate changes in conditional price variance. A fully non-parametric additive model is employed as a robustness check, allowing the data to shape volatility dynamics without imposing a predefined structure. The results reveal that the new interconnector significantly increased price volatility in Sicily, without reducing average price levels. No significant effects were observed in other Italian market zones. These findings highlight the context-dependent nature of infrastructure impacts and suggest that physical integration alone does not guarantee price stability. The results have important implications for energy policy, investment planning, and risk management in electricity markets.