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为促进碳减排事业和人类的可持续发展,围绕期货价格波动的风险进行实证研究。首先阐述了EU ETS碳市场建立及发展的三个阶段特征,并以交易最活跃的欧盟碳期货数据为例,运用GARCH模型和Va R方法实证得出碳期货每个阶段交易的风险,结果表明:三个阶段碳期货价格收益率均具有尖峰厚尾、自相关、异方差性。碳期货市场存在显著的簇聚等特征,分析造成三个阶段碳期货风险原因,得出我国未来建立碳期货市场必须要建立价格稳定机制并加强监管的启示。
In order to promote the cause of carbon emission reduction and the sustainable development of human beings, an empirical research is conducted on the risk of the fluctuation of futures prices. Firstly, the three stages of EU ETS carbon market establishment and development are described. Taking the most active EU carbon futures data as an example, the risk of each stage of carbon futures trading is empirically proved by GARCH model and VaR method. : Three stages of the return rate of carbon futures have peak thick tail, autocorrelation, heteroscedasticity. Carbon futures market there is a significant clustering and other characteristics of the three phases caused by the analysis of carbon futures risk reasons, come to China’s future establishment of the carbon futures market must establish price stability mechanism and strengthen the regulatory implications.