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

摘要： 研究将多源不确定性指标纳入传统油价波动影响因素的分框架，对国际油价波动的驱动因素进行了量化分析。综合考虑宏观经济变量、供需基本面因素、投机因素等传统油价驱动因素，以及经济政策不确定性、政治不确定性和金融市场不确定性等多源的不确定性因素，基于单因子和双因子GARCH-MIDAS模型，考察了各因素对国际油价波动的影响及其差异特征。实证结果表明：供需因素对油价波动存在显著的异质性影响，传统变量仍是影响油价波动的主要驱动力；不确定性因素对长期油价波动的影响不容忽视，全球及主要国家的经济政策不确定性上升将推升原油市场的波动。此外，相较于基准GARCH模型，纳入不确定性指标的混频数据模型表现更优，传统变量与不确定性指标的结合对油价波动具有更强的解释能力。上述结论为投资者、市场监管者等利益相关方有效应对原油市场的各类风险提供了参考。

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