Energy-Sector Volatility, Geopolitical Shocks, and Sustainable Energy Resilience: Evidence from Domestic and Global Companies

This study examines the determinants of conditional volatility in energy-sector equity returns and their implications for sustainable energy resilience, energy security, and investment stability. Using a multi-stage econometric framework, the analysis investigates how global financial, commodity, and macroeconomic shocks are transmitted to volatility dynamics across heterogeneous energy companies. The dataset includes domestic and international firms, enabling a comparative assessment of volatility behavior and risk-transmission mechanisms under different market and institutional conditions. The empirical framework combines ARMA models for return dynamics, EGARCH/GARCH specifications for conditional volatility estimation, and OLS regressions with HAC standard errors to identify key determinants of volatility, including market indices, commodity prices, exchange rates, and major geopolitical and economic events. The findings reveal strong volatility persistence across all assets and asymmetric responses to market shocks in most cases. Global market conditions, particularly lagged MSCI World returns, significantly affect volatility, whereas commodity effects related to oil, gas, and coal remain heterogeneous across firms. Event-based regressors show that systemic shocks, including the COVID-19 pandemic and the European energy crisis, increase volatility, although geopolitical effects depend on firm-specific exposure. The results contribute to the sustainability literature by linking energy-sector financial volatility with market resilience, energy security, and stable investment conditions for the energy transition.