Research On Risk Measurement Of International Carbon Emissions Trading Market Based On SKST-GAS Model

In order to solve the increasingly severe climate problem,all countries in the world are making active efforts and attempts.Controlling greenhouse gas emissions through market measures is a necessary measure for the implementation of a low-carbon economy.Since its launch in 2005,carbon emissions trading markets in various regions around the world have been established.Among them,the European Union's carbon emission trading system has become the most mature and the largest carbon in the world after more than ten years of development.Emissions trading market.Now China has also launched pilot projects in various regions,and in the near future it will also build a national carbon emissions trading market.Carrying out research on the EU carbon emissions trading market,especially risk measurement research,on the one hand,can enable market participants to better understand the EU carbon emissions trading system and make preparations to reduce losses based on risk measurement;on the other hand,it can help our country Provide reference for the construction of carbon emission trading market and risk management.In this paper,the latest popular volatility modeling GAS method is used to build models based on the normal distribution,t distribution and SKST distribution according to the characteristics of the EUA spot log rate of return distribution.The logarithmic return series of the third phase of the EU carbon emissions trading market from 2013 to 2018 was divided into three groups as the research object for prediction and comparison.Use the data in the sample to fit the model,and use the rolling prediction method and the recursive method to predict the dynamic VaR and ES values of the EUA spot sequence to evaluate the risk of the carbon emissions trading market.In evaluating the prediction results,in addition to the conventional return test method,VaR and ES joint test methods were also introduced.The results of empirical research indicate that the overall risk of the carbon emissions trading market is relatively high,and the downside risk can be up to-40%.Risk measurement and risk management are particularly important in the carbon emission rights market affected by other reasons;among the three GAS model prediction effects,the GAS-N model has the worst effect,and the GAS-SKST model has the best prediction effect.When measuring the risk in the carbon emission trading market,it is recommended to use the SKST distribution that can reflect the characteristic of the carbon yield sequence peaks and thick tails.The SKST distribution of the two prediction methods is better than the iterative method;by comparing VaR and The predicted value of ES finds that VaR is closer to the actual loss value when the fluctuation of the yield rate is flat,and ES is closer to the actual loss value when the fluctuation of the yield rate is severe.Therefore,in the period of intense carbon emissions trading market volatility,we should pay more attention to the predicted value of ES.When the fluctuation is relatively flat,participants in the carbon trading market should pay more attention to the predicted value of VaR and take timely measures to avoid risks.