Volatility regimes and structural shifts in geopolitical risk: Evidence from GARCH and breakpoint analysis

This study examines the temporal dynamics and volatility of global geopolitical risk using the Global Geopolitical Risk (GPR) Index. Instead of emphasizing economic consequences, the primary objective is to model the index itself in order to uncover its internal dynamics, regime shifts, and volatility structure. By employing advanced time-series techniques—including seasonal-trend decomposition, Bai–Perron structural break estimation, ARIMA, and GARCH models—the analysis identifies distinct episodes of heightened geopolitical uncertainty linked to major global events such as 9/11, the global financial crisis, and the COVID-19 pandemic. Grounded in Rational Inattention Theory and media-based uncertainty transmission, the study demonstrates how geopolitical risk is perceived, processed, and amplified through global news flows. The contribution lies in offering a transparent and replicable framework for monitoring, modeling, and forecasting geopolitical uncertainty. The findings carry practical implications for policymakers, corporate managers, and financial practitioners, underscoring the value of integrating real-time GPR monitoring into risk management, investment strategies, and operational planning.