Geopolitical Risk and the Volatility of the International Grain Futures Market
利用随机矩阵理论构建地缘政治风险指标，通过GJR-GARCH-MIDAS模型分析其对小麦、玉米、大豆、大米期货市场波动的影响，发现短期波动聚集性强且持久，不同维度风险对长期波动影响各异。
ABSTRACT The current international landscape is turbulent and unstable, with geopolitical risk having emerged as a significant threat. Focusing on the grain futures market, this paper builds different geopolitical risk measures by random matrix theory and constructs GJR‐GARCH‐MIDAS models to investigate the impact of geopolitical risk on grain market volatility. The findings indicate that rolling‐window modeling performs better in describing the overall volatility of wheat, corn, soybean, and rice markets, and two‐factor models generally exhibit stronger explanatory power in most cases. Short‐term volatility demonstrates obvious volatility clustering and high volatility persistence, without significant asymmetry. Additionally, realized volatility of wheat, corn, and soybean significantly exacerbates their long‐run volatility, while geopolitical risks of different dimensions show varying directions and degrees of effects in explaining long‐term volatility of the four submarkets. This study offers valuable insights into grain market volatility and geopolitical risk, contributing to agricultural futures investment and global food security.