Volatility Modeling of the Impact of Geopolitical Risk on Commodity Markets
This study analyses the impact of the Geopolitical Risk Index (GPR) on the volatility of commodity futures returns from 4 January 2010 to 30 June 2023, using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models. It expands the research scope to include precious metal...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-03-01
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| Series: | Economies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7099/13/4/88 |
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