The article examines the impact of geopolitical risks and economic uncertainty on the cost of natural gas in Europe. We analyze the factors that affect gas prices in the region, including political conflicts, economic sanctions and changes in supply and demand. Such indicators as the indices of geopolitical risk - general, the index of geopolitical threats and the index of geopolitical acts, the index of uncertainty of economic policy in Europe, the index of global economic activity as a demand factor, the real effective exchange rate are considered. The authors concluded that geopolitical risks and economic uncertainty have a significant impact on the cost of natural gas in the region, while the strength of this influence depends on the quantile in which the futures price is at the moment. The influence of the indices of geopolitical risks varies both depending on the quantile of finding prices, and on the variant of the geopolitical risks themselves. Directly geopolitical threats reduce the price when it is at an average level, and the increase occurs when the price of futures is already at an extremely high level. The study expands the ways of forecasting prices for natural resources in the markets and establishes causal relationships between events in the world and fluctuations in energy prices.