EU ETS Market Risk under Stochastic Volatility Models—Base on MCMC Algorithm

摘要

First of all,in this paper use four stochastic volatility models to measure the market risk of EUA futures.The parameters are estimated through MCMC algorithm,and the results show that,compare with other SV models,leverage SV is superior to describe the characters of the EUA future price returns.Empirical research manifest that the SV model predicts the volatility market risk of EUA future market perfectly.And EUA future market VaR in phase 1 is larger than that in phase 2.