Research Of Measurement Of Market Risk Of EU ETS Based On GARCH-VaR Model

EU ETS played a decisive role in solutions of global climate with the further development of EU ETS. In order to promote the development of a low carbon economy, it is imperative to establish carbon trade markets in China. It has a strong theoretical and practical guiding significance to analysis yield characteristics and calculate risk of EU ETS. The purpose of this paper is to select the appropriate model to calculate the risk of EU ETS based on the analysis the yield rate fluctuation on spot and future of EU ETS. Than to analysis of causes of risks so that the policymakers are fully aware of the risk of EU ETS. Than to reasonably avoid the risk. And to prompt investors of EU ETS to raise risk awareness which will provide recommendations and reference values on the establishment of China's carbon emissions trading market.This paper takes the spot and feature data of EU ETS as an example. Firstly,we use econometric model to analyze the yield rate sequence distribution of future contracts and know that the distribution has the characteristic of heterosexuality and volatility clustering. Then we use GARCH model to establish to calculate the VaR. Finally, we analyze the reasons for the volatility and risk characteristics of carbon market. And we help to provide with the policy guidance to help to set up the Chinese carbon emission trading market in the consideration of our development status of carbon trading and Chinese conditions.Through calculating and analysis the risk of EU ETS, the major reasons which lead to the risk are as followings. Firstly, unreasonable distribution. Secondly, carbon market overreaction.Thirdly, serious short-term speculation. Fourthly, Policy risk. So these reasons bring some enlightenment for us to establish carbon emissions trading market.