An Empirical Study Of Carbon Price Volatility

As the trend of global warming, various countries in the world pay more attention on the emission of carbon dioxide. What is more, as the Kyoto Protocol and UNFCCC took effect, the right of carbon emission had become a scarce financial derivative in carbon exchanges. China is the biggest developing country, and ranks top in the ranking of carbon dioxide emission. In this situation, China began put down some pilot programs of carbon exchanges.The earliest carbon exchange in the world is European Climate Exchange, which dominates the market. The article tries to study the price of the EUA future by using Autoregressive Conditional Heteroskedasticity (ARCH) family models, getting the characteristics of the EUA future price volatility in order to get a better understanding of the volatility.The article is divided into four chapters. The first chapter is introduction, which describes the background and significance of this study, domestic and abroad research progresses and the structural arrangement of this paper. The second chapter introduces the time-series methods, including time-series data preprocessing, ARMA model and ARCH family models. The third chapter uses the EUA future price series to establish ARCH family models and finds that the series has some features like fat tail and volatility persistence. The last chapter gives some advices about the development of carbon exchanges in China. For example, our government should make comprehensive transaction systems for carbon exchanges to reduce the influence of systems;the exchanges control the rhythm of the price volatility.