The Impact of Geopolitical Risk on the Volatility of Wheat Futures: A Quantile ARDL Approach
Journal: Commodities
Year: 2025

This study looks at the impact of geopolitical risk on the volatility of wheat futures returns over the period 2012–2023, while controlling for inventories, shipping rates, and speculative activity. Using the volatility of CBOT first nearby futures returns, we apply a quantile regression approach to assess the impact of the variables on different parts of the volatility distribution. More specifically, we adopt the Quantile Autoregressive Distributed Lag (QARDL) model, which allows for examining