Geopolitical tensions remain an important source of uncertainty for global oil markets. This study examines whether recent geopolitical shocks related to escalating tensions in the Middle East in 2025–2026 were associated with changes in oil price volatility regimes. The analysis is based on daily WTI crude oil prices covering the period from 1 January 2024 to 10 April 2026. A two-regime Markov-switching GARCH model is used to identify low- and high-volatility states. The regime classification is further supported by return-variance tests, episode-level descriptive statistics, and a sensitivity analysis of alternative probability thresholds. The results show that the oil market remained in a low-volatility regime for most of the sample, but three distinct high-volatility episodes were identified, i.e., in early April 2025, June 2025, and late February to April 2026. These episodes differed in duration, direction, and intensity. The 2026 episode was the longest and most persistent high-volatility period, with the highest conditional volatility, the highest average probability of the high-volatility regime, and the widest daily price ranges. The sensitivity analysis confirms that the identification of the three main episodes is robust to stricter probability thresholds. The findings suggest that recent geopolitical shocks coincided with distinct volatility regime episodes in the oil prices, with direct military escalation in the Middle East being associated with the strongest and most persistent market turbulence.
Czech et al. (2026) studied this question.