基于 GARCH-EVT-VaR 模型的碳市场风险计量实证研究

doi:10.13209/j.0479-8023.2015.018

北京大学学报（自然科学版）

• 北京大学学报 •

基于 GARCH-EVT-VaR 模型的碳市场风险计量实证研究

蒋晶晶¹;叶斌²;马晓明^1,3

1. 北京大学深圳研究生院环境与能源学院, 城市人居环境科学与技术重点实验室, 深圳 518055;
2. 清华大学深圳研究生院, 深圳 518055;
3. 北京大学环境科学与工程学院, 北京 100871;

收稿日期:2013-12-10 修回日期:2014-07-25 出版日期:2015-05-20 发布日期:2015-05-20
通讯作者: 叶斌 ye.bin@sz.tsinghua.edu.cn; 马晓明 xmma@pku.edu.cn
基金资助:
深圳市环境科研计划课题(4403012012000227)和广东省自然科学基金博士启动项目(2014A030310404)资助

Value-at-Risk Estimation of Carbon Spot Markets Based on an Integrated GARCH-EVT-VaR Model

JIANG Jingjing¹;YE Bin²;MA Xiaoming^1,3

1. Key Laboratory for Urban Habitat Environmental Science and Technology, School of Environment and Energy, Shenzhen Graduate School, Peking University, Shenzhen 518055;
2. Graduate School at Shenzhen, Tsinghua University, Shenzhen 518055;
3. College of Environmental Sciences and Engineering, Peking University, Beijing 100871;

Received:2013-12-10 Revised:2014-07-25 Online:2015-05-20 Published:2015-05-20
Contact: YE Bin ye.bin@sz.tsinghua.edu.cn; MA Xiaoming xmma@pku.edu.cn

摘要/Abstract

摘要： 对欧盟碳市场风险进行实证研究, 在分析碳市场价格波动特征基础上, 将条件方差和极值理论纳入 VaR 计量框架, 建立量化碳市场价格波动风险的GARCH-EVT-VaR 模型。应用该模型对欧盟碳排放交易市场(EU ETS)进行实证研究, 结果显示: 碳市场价格波动具有尖峰、厚尾、自相关、波动性聚类和条件方差等典型特征, EUA 和CER 价格波动呈现显著同步性; 碳市场存在显著的极端价格波动风险, GARCH-EVT-VaR 模型能够更准确地量化碳市场风险, 从而为应对极端事件预留充足的风险储备。

关键词: 碳市场, 风险计量, 价格波动, GARCH-EVT-VaR

Abstract: An empirical research was made on the carbon market risk measurement of the European Union emissions trading scheme. Based on the analyses of carbon price volatility, the conditional variance and extreme value theory were incorporated into the VaR framework to develop an integrated GARCH-EVT-VaR model for the carbon market. It is applied to estimate market risks of the EU ETS, and empirical results indicate that the GARCH-EVT-VaR model makes more accurate risk measurement of the carbon market than the traditional model. The EUA (Europe Union Allowance) and CER (Certificated Emission Reduction) are exposed to the same level of market price, in spite of differences in their policy risk, legal risk and credit risk. Market risks of EUA and CER are significant correlated, which can be used to make risk management strategies for the carbon market.

Key words: carbon market, risk measurement, price volatility, GARCH-EVT-VaR

蒋晶晶;叶斌;马晓明. 基于 GARCH-EVT-VaR 模型的碳市场风险计量实证研究[J]. 北京大学学报（自然科学版）, DOI: 10.13209/j.0479-8023.2015.018.

JIANG Jingjing;YE Bin;MA Xiaoming. Value-at-Risk Estimation of Carbon Spot Markets Based on an Integrated GARCH-EVT-VaR Model[J]. Acta Scientiarum Naturalium Universitatis Pekinensis, DOI: 10.13209/j.0479-8023.2015.018.

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链接本文: https://xbna.pku.edu.cn/CN/10.13209/j.0479-8023.2015.018

https://xbna.pku.edu.cn/CN/Y2015/V51/I3/511

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基于 GARCH-EVT-VaR 模型的碳市场风险计量实证研究

Value-at-Risk Estimation of Carbon Spot Markets Based on an Integrated GARCH-EVT-VaR Model

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