Research On Volatility Characteristics Of Carbon Emission Price Based On GARCH Model

Today,countries attach great importance to the environmental and ecological problems caused by global warming,and actively build carbon markets to solve the problem of rapid global warming.Against this background,our party mentioned unprecedented heights in the construction of ecological civilization and green development at the 19 th National Congress.Consequently,the research on the carbon market is an important task facing the current development of a green and low-carbon economy and the construction of our country's ecological civilization.It is also a hot issue in the academic community.So this paper chooses the carbon market as the research direction.It is expected that the research in this paper will enable investors to effectively understand the carbon market and avoid the risk of carbon emissions trading.It is expected that the research in this paper will achieve a low level of ecological civilization construction in China.The commanding height of carbon economic development has important practical significance.Under the idea of the significance of the carbon market research,in this paper,according to relevant literature,which has obtained excellent market research on the carbon emission rights market mechanism,the effect of the carbon emission price,the formation of carbon emission prices,and the characteristics and rules of the fluctuation of carbon prices.However,the literature also shows that the research on carbon emission rights prices at home and abroad is mainly focused on the EU's carbon trading system.While the few empirical studies on the carbon emission rights prices in China's pilot projects,and there is a lack of pertinence and completeness,and there is no comparative study on the characteristics of the volatility of carbon emission rights between China and the EU,as well as analysis of the causes of differences in the volatility characteristics of carbon emission rights and the fluctuation characteristics of mature financial asset price.Therefore,the existing research contents and achievements on carbon emission rights prices in the EU and China are lacking,which leaves room for the study of this paper.So on the basis of previous research,in this paper,to the EU and China's the characteristics of fluctuation of carbon emission rights,and it is of great theoretical and practical significance to further study the causes of performance on its volatility characteristics and difference.In view of the above-mentioned problems in the study of the carbon emission rights prices,this paper has constructed the research thinking on the carbon emission rights prices: This article study the carbon emission rights prices,first of all,what kind of problems exist in the carbon emission rights prices research.Therefore,the study of this article begins with a review related literature in the carbon market.Through a large number of readings relevant literature,the issue of the incompleteness of the study of the volatility characteristics of the carbon emission price is proposed.secondly,the price fluctuation characteristics of carbon emission rights in this paper are studied.So at this stage,the main fluctuation characteristics of financial asset prices are analyzed and the volatility characteristics of carbon emission prices that need to be studied in this paper are established.At the same time,based on the GARCH model,this paper sets the theoretical model of carbon price fluctuation characteristics.And then the question of whether the sample sequence can be analyzed using the GARCH family model.In consequence,at this stage,the applicability of the model was analyzed.Meanwhile,the descriptive statistics of the sample,the stability of the sample,and the autocorrelation analysis were performed to determine whether the mean equation could be constructed.After carrying out the average equation,the mean equations of the carbon emission rights rate series of the EU and China's four pilots were constructed,and the ARCH effect test was conducted to determine whether the sample sequence could be analyzed by using the GARCH family model;in addition,the sample sequence was solved.You can use the GARCH family model to analyze the problem,and then study the issue of the volatility characteristics of carbon emission prices.At this stage,we used the GARCH model to study the carbon emission rights prices in the EU and China's four pilot sites.At this time,we used the GARCH model to study the characteristics of their volatility persistence,and used the mean GARCH model to study the fluctuation and risk of earnings.The correlation characteristics between the two were studied using the TGARCH and EGARCH models to study the asymmetry characteristics of the volatility;besides,the volatility characteristics of the carbon emission rights prices in the EU and China's four pilots were solved.The next step is to address the difference between the pricing fluctuation characteristics of carbon emission rights in the EU and China.At this stage,the paper compares and analyzes the differences in the carbon price characteristics of carbon emissions between China and the EU,and it also compares the differences between the carbon price fluctuation characteristics and the mature financial asset price's fluctuation characteristics.Finally,the reasons for the differences in the volatility characteristics of carbon emission rights are studied.But the meanwhile,on the basis of the differences in the characteristics of the carbon emission rights fluctuations and the comprehensive use of principles such as economics,finance,environmental science,and energy finance,the differences in the price fluctuation characteristics of carbon emission rights between China and the EU were analyzed.The differences in the price fluctuation characteristics of carbon emission rights and the characteristics of the volatility of mature financial asset price,and for the above-mentioned differences,reached conclusions and proposed policy suggestions for improving China's carbon market and developing China's carbon market.Empirical research shows that:(1)The sequence of carbon emission return rates of the EU and China's pilots all have obvious "spikes and thick tails" characteristics;(2)The volatility of the carbon emission rights rate between the EU and China's four pilots as a whole shows a significant volatility persistence feature,the impact of external information on the volatility of carbon emission rights rate of return It is long-lasting;(3)The EU carbon emission price volatility and investment risk are weakly positively correlated,and China's four pilots' volatility table of carbon emission rights price-earnings returns and investment risks are negatively correlated.At the same time,the carbon emission rights prices of the EU and China generally show that the relationship between investment risks and returns is not closely related;(4)The volatility of the carbon emission rights prices between the EU and China's four pilots shows a significant "asymmetric effect" overall,while the fluctuation of carbon emission rights prices in China's Hubei,Beijing and Guangdong shows an "anti-leverage effect";(5)The volatility of China's pilot carbon emission rights prices in Shenzhen is basically the same as that of the EU carbon emission rights.Volatility characteristics are consistent,indicating that the construction of the Shenzhen pilot carbon markets is effective,so the development of Shenzhen's carbon market is more mature than other pilot carbon markets in China.On the basis of the results of empirical research,it is concluded that the length of the time of the market's establishment,the market's trading mechanism,and the degree of investor participation are the causes of the differences in the carbon emission characteristics between China and the EU.Moreover,the inconsistency of national policies is the cause of the difference in the volatility characteristics between the entire carbon emission rights market and mature financial markets.For the above reasons,it is proposed that the international policies of dealing with climate change needs to reach a consensus,and China's carbon trading mechanism and China's price pricing mechanism need to be improved,and the policy aiming at the structure of investors in China should be a meliorated.