A global risk factor may not be enough to capture worldwide common variation in financial volatilities or correlation of shocks to those volatilities. A two-factor model of financial volatility is developed to measure the common variation driven by global and geopolitical shocks to sovereign bond indices. We find that these are driven by not only a global but also a group-specific, presumably European, volatility factor. Events that would have otherwise been identified as global, such as presidential elections, turn out to have a much lower impact globally. Other events have an amplified effect on some countries when regional effects are allowed. European countries, for instance, seem much more impacted by shocks such as the 2016 European Union membership referendum in the United Kingdom than the rest of the world. While global volatility seems to drive global economic crises, the regional factor shows predictive power for the European sovereign debt crisis.