What question did this study set out to answer?

Investigate the dynamic impact of geopolitical risk on price volatility across energy commodities (WTI crude oil, Brent crude oil, natural gas) and precious metals (gold and silver).

August 19, 2026Studies in Economics and FinanceOpen Access

The impact of geopolitical risk on energy and precious metal commodity markets using the DCC-GARCH MIDAS model

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Authors

FAFarenayla AesyaNational University of Malaysia SHSaiful Izzuan HussainNational University of Malaysia SLSteven LiRMIT University

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Implication

Econometric analysis reveals heightened sensitivity of crude oil to geopolitical risk compared to precious metals, indicating event-dependent hedging effectiveness.

Key Points

Investigate the dynamic impact of geopolitical risk on price volatility across energy commodities (WTI crude oil, Brent crude oil, natural gas) and precious metals (gold and silver).
Applied a Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity Mixed Data Sampling (DCC-GARCH-MIDAS) model.
Integrated lower-frequency geopolitical risk metrics with higher-frequency daily price data across energy and precious metal commodities.
Energy commodities, particularly benchmark crude oils (WTI and Brent), demonstrated high sensitivity and strong positive correlations with geopolitical uncertainty, peaking during the Russia–Ukraine invasion.
Gold and silver exhibited relatively low correlations with geopolitical risk, displaying event-dependent price responses rather than functioning as consistent hedging assets.

Cite This Study

Aesya et al. (2026) studied this question.

synapsesocial.com/papers/6a85637603308d306e2d6a79 https://doi.org/10.1108/sef-07-2025-0510

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Implication

Econometric analysis reveals heightened sensitivity of crude oil to geopolitical risk compared to precious metals, indicating event-dependent hedging effectiveness.

The impact of geopolitical risk on energy and precious metal commodity markets using the DCC-GARCH MIDAS model

Discussion

Member takes

Implication

Key Points

Cite This Study

The impact of geopolitical risk on energy and precious metal commodity markets using the DCC-GARCH MIDAS model

Discussion

Member takes

Implication

Key Points

Cite This Study

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