关键词: 原油价格波动, 经济政策不确定性, 地缘政治风险, GARCH-MIDAS模型

Abstract: This paper examines the impact of various factors on the international crude oil price volatility, considering macroeconomic variables, supply and demand fundamentals, speculative elements and other traditional oil price drivers, alongside uncertainty from economic policy, political instability, and other sources. It utilizes one-factor and two-factor GARCH-MIDAS models to analyze these impacts. The empirical results show that supply and demand factors have significant and heterogeneous impacts on oil price volatility, with traditional variables remaining the main drivers. However, the impact of uncertainty factors on long-term oil price volatility should not be ignored, with rising uncertainty in the global and economic policies of major economies leading to increased volatility in the crude oil market. Moreover, the mixed-frequency data model outperforms the standard GARCH model, demonstrating superior explanatory power for oil price volatility when both traditional variables and uncertainty indicators are considered. These findings offer valuable insights for investors and regulators in the crude oil market, enabling them to take targeted measures to address volatility of crude oil prices driven by different risk factors.

Key words: crude oil price volatility, economic policy uncertainty, geopolitical risk, GARCH-MIDAS model