Geopolitical events' effect on the volatility of crude oilmarket: An example of WTI

This study investigates the effect of major six events namely, Arab Spring, Egypt Coup, Yemen Civil war & Saudi Intervention, 2016 OPEC Production Cut, U.S. – China Trade War, and Russia – Saudi Arabia Oil Price War, on the volatility of the crude oil market. To exemplify, this study utilized successful models that can estimate the volatility of the crude oil market in the future, to do that a recent event was used which is Saudi Arabia – United Arab Emirates Oil Crisis in 2021. The West Texas Intermediate (WTI) benchmark's closing price data was used to cover the range from September 2009 to August 2021. The methodology that was used to analyze this data was the GARCH(1,1) process which is one of the most widely used models within GARCH models. The main finding of the study is that geopolitical events, especially ones related to middle east countries which are rich of oil, have a significant impact on the WTI crude oil benchmark prices.