Volatility Modeling of the Impact of Geopolitical Risk on Commodity Markets

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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Bibliographic Details
Main Authors: Letife Özdemir, Necmiye Serap Vurur, Ercan Ozen, Beata Świecka, Simon Grima
Format: Article
Language:English
Published: MDPI AG 2025-03-01
Series:Economies
Subjects:
geopolitical risk
commodity
EGARCH
Online Access:https://www.mdpi.com/2227-7099/13/4/88
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