title: Volatility Modeling of the Impact of Geopolitical Risk on Commodity Markets
abstract: 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 metals, agricultural products, energy, and industrial metals. The study differentiates between the impacts of geopolitical threat events and actions using GPRACT and GPRTHREAT indicators. Findings reveal t
journal: Economies