This study examines whether geopolitical risk (GPR) exhibits an ability to forecast crude oil volatility from a time-varying transitional dynamics perspective. Unlike previous studies that assume an oversimplification of the fixed transition probabilities for crude oil volatility, we develop an asymmetric time-varying transition probability Markov regime switching (AS-TVTP-MS) GARCH model. In-sample estimated results show that GPR yields strong evidence of regime switching behavior on crude oil volatility and that the negative shocks of GPR result in greater effects on switching probabilities than positive shocks. Out-of-sample results indicate that the AS-TVTP-MS GARCH model containing the GPR index outperforms other models, suggesting that the consideration of GPR information and time-varying regime switching together results in superior predictive performance. Moreover, the predictability of oil volatility is further verified to be economically significant in the framework of portfolio allocation. In addition, our results are robust to various settings.

这项研究从时变过渡动力学的角度考察了地缘政治风险（GPR）是否具有预测原油波动的能力。不同于先前的研究假设原油挥发性的固定过渡概率过于简化，我们开发了一种不对称的时变过渡概率马尔可夫政权切换（AS-TVTP-MS）GARCH模型。样本中的估计结果表明，GPR可以很好地证明制度转换行为对原油挥发性的影响，并且GPR的负面冲击比正面冲击对转换概率的影响更大。样本外结果表明，包含GPR索引的AS-TVTP-MS GARCH模型优于其他模型，这表明，将GPR信息和时变方案一起考虑会产生出众的预测性能。此外，在资产组合分配的框架内，石油波动性的可预测性在经济上也得到了进一步的验证。此外，我们的结果在各种设置下都是可靠的。