| Sumario: | The motivation of this article is that despite the rising geopolitical events across the globe, several aspects of geopolitical risks have not been sufficiently explored in the literature including the persistence and dependence in the geopolitical risks. This article examines geopolitical risk in terms of time series persistence. In doing so, we are able to determine the nature of the shocks, which are either transitory or permanent depending on the integration order of the series. We examine 19 countries from January 1985 to February 2020. Our results show evidence of positive time trends in the cases of Mexico and Venezuela, and negative ones for South Africa and Argentina. These results are robust across seasonal and non-seasonal data and for different modelling assumptions for the error term. With respect to the degree of persistence, the different parameter is found to be in the range (0, 1) although we also observe heterogeneity across all countries.
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