基于GARCH-EVT-VaR模型的国际主要碳排放交易市场风险度量研究

摘要

选取欧洲碳排放权交易系统现货和期货数据，以及芝加哥气候环境交易所的数据，根据在险值理论、条件方差理论以及极值理论，构造GARCH－EVT－VaR模型，度量上述两个市场的正常波动和极端情况下的期望风险。对比两个市场的波动情况、市场效率以及市场风险，本文发现碳排放权交易市场下跌风险更大，并且下跌的信息对于市场的影响更明显。另外，认为强制性交易市场更适合碳排放权交易，且期货交易的引入增大了碳交易市场的不确定性。%This paper selects spot and future data of EU ETS and the data of CCX to evaluate the risk of the two markets under extreme conditions or in order by GARCH-EVT-VaR model based on the value-at risk theory,the conditional variance theory and the extreme value theory.Compared with volatility,efficiency and risk of the two markets,it indicates that the downside risk is greater than the upside risk;the information of downside risk has more impact on the markets.It also shows that the mandatory market is more suitable for carbon trading and the futures make the carbon market more un-certain.