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随着EU ETS碳排放市场的快速发展,建立明确可靠的EUA期货市场风险度量模型具有越来越重要的现实意义。针对EUA期货价格对数收益率的统计特征,建立四个不同的随机波动模型,利用MCMC方法估计随机波动模型参数,以DIC准则综合考虑模型的优劣;并利用随机波动模型估计EUA期货的市场风险,似然率后验检验表明leverage-SV模型估计的V aR具有最好的有效性。实证研究表明,EUA期货收益率具有显著的簇聚特征,且受的宏观经济显著影响,金融危机加强了EUA期货市场风险,同时具有明显的非对称性,价格下跌风险要高于价格上涨风险。
With the rapid development of the EU ETS carbon emission market, it is of more and more important practical significance to establish a clear and reliable EUA futures market risk measurement model. According to the statistical characteristics of the logarithm of the EUA futures price, four different stochastic volatility models are established. The MCMC method is used to estimate the stochastic volatility model parameters. The DIC criterion is used to consider the pros and cons of the model. The stochastic volatility model is used to estimate the market of the EUA futures The posteriori risk and likelihood tests show that V aR estimated by the leverage-SV model has the best validity. Empirical studies show that the yield of EUA futures has a significant clustering characteristic and is significantly affected by the macroeconomic. The financial crisis has strengthened the EUA futures market risk with obvious asymmetry. The risk of price decline is higher than the price rise risk.