This study investigates the nonlinear dynamic correlations between geopolitical risk (GPR) and oil prices using nonlinear Granger causality and DCC-MVGARCH methods based on high-frequency data. The relationship between GPR and oil prices is found to have a complex nonlinear relationship rather than a simple linear one. Further, a bidirectional nonlinear Granger causality is found to consistently exist between GPR and oil volatility across different components of realized volatility. In terms of returns, GPR has relatively weak unidirectional nonlinear Granger causation with oil returns. The dynamic correlation analysis shows that GPR mainly affects oil volatility rather than returns. Moreover, GPR mainly affects oil volatility through the jump component of the oil market after the financial crisis, and there is a strong positive correlation between GPR and volatility jumps. Our findings innovatively suggest that GPR can potentially be utilized to improve models of volatility jumps and provide reference for investors and price analysts in oil markets who want to design sensible risk-management strategies.

本研究使用非线性Granger因果关系和基于高频数据的DCC-MVGARCH方法研究地缘政治风险（GPR）与油价之间的非线性动态相关性。发现GPR和油价之间的关系具有复杂的非线性关系，而不是简单的线性关系。此外，发现在已实现波动率的不同组成部分之间，GPR和石油波动率之间始终存在双向非线性格兰杰因果关系。在收益方面，GPR具有相对较弱的单向非线性Granger因果关系，且与石油收益相关。动态相关分析表明，GPR主要影响石油的波动而不是收益。此外，GPR主要通过金融危机后石油市场的跳跃性影响石油波动，GPR和波动率跳跃之间存在很强的正相关关系。我们的研究结果创新地表明，GPR可以潜在地用于改进波动率跳跃模型，并为希望设计明智的风险管理策略的石油市场中的投资者和价格分析师提供参考。