Research On Risk Measurement Of EU ETS Carbon Futures Market Based On GARCH Model

In order to promote the development of carbon reduction and the sustainable development of mankind,the international community has formed a series of legally binding international conventions,while international carbon futures trading came into being.From the current status of the development of international carbon futures,the EU has an unshakable dominance in this area,the European Climate Exchange carbon futures trading is very active,and the market price tends to stabilize,but carbon futures as a new derivative products,Its price trajectory can not be accurately portrayed,once the investment decision-making mistakes will cause huge losses,and even induce systemic financial risks.The academic research on the risk of carbon futures trading is rich,but the empirical research on the risk of international carbon futures is still rare.Therefore,this paper attempts to use the EU as an example,based on the actual transaction data,the use of VAR method empirical analysis of international carbon futures trading value,and put forward relevant revelation and policy recommendations.This paper is divided into six chapters to start the study:the first chapter put forward the research background,purpose and significance,summarize the relevant research progress at home and abroad,put forward the research ideas.The second chapter conceptual definition and theoretical basis,focusing on the relevant concepts of the carbon market,as well as the futures market theory of price discovery function,hedging function and venture capital function,and put forward the external theory,and Coase theorem to solve the externalities Of a way.The third chapter characterizes the EU carbon emissions futures market and the status of market development in China.Focus on the EU carbon futures market,analysis of the operation Status,development model and market risk control and control of the status quo and China were compared,introduced China's carbon emissions market in 2013 to achieve the results and drawbacks.The fourth chapter analyzes the carbon market risk types and risk factors in the EU carbon market,mainly for the futures market risk.The fifth chapter introduces the method of GARCH model and risk measurement,analyzes its applicability in international carbon risk management based on its basic assumptions and core ideas,and combines GARCH theory with empirical research on futures price volatility risk.Comprehensive theoretical analysis and empirical research,the sixth chapter draws the following inspiration:First,the EU carbon trading for China's carbon trading provides a good demonstration effect,learn from the EU experience,the establishment of domestic carbon trading market price stability mechanism of economic growth and carbon reduction Row to provide a dual power to imitate the EU China can take four stages of the model,preparation stage,trial run,improve and stabilize the deepening stage,through this vision,I can provide a demonstration of a unified carbon emissions system.Second,China's participation in the international carbon trading market,we must strengthen the carbon emissions trading implied risks,improve the risk control mechanism and risk monitoring mechanism.Third,the need to strengthen the prevention of market risks,drawing the future need to establish a national quota plan and the main body of the information disclosure,real-name certification approach.Fourth,the sound risk coping style for our country to establish a unified carbon market put forward a very high demand.