| Carbon financial market,as a special financial product of governments to deal with global climate change,has attracted much attention since its appearance.Carbon financial market has the characteristics of market differentiation,rich subject matter,financial products and derivatives and other traditional financial market attributes,but the subject matter of its trading is the greenhouse gas with no physical significance.As the market itself is generated by policies,it is greatly affected by policies and faces significantly higher volatility risks than other financial markets.On the other hand,as low-carbon economy becomes the mainstream of current development,China’s carbon financial market will certainly play an important role in the future economic development of the country.Due to the late start of the construction of China’s carbon financial market,the incomplete supporting facilities of the market and the urgent need to improve the level of market management,such problems lead to frequent and violent fluctuations in the price of carbon financial assets in China,and the fluctuation risk of China’s carbon financial market is extremely prominent.To study and measure the volatility risk of China’s carbon financial market is helpful to provide risk control strategies for all parties in the market,improve the operational efficiency of the carbon financial market,and enhance the market’s ability to cope with external risk shocks.Based on previous research results,this paper firstly analyzes the risk formation mechanism,risk inducement and development status of carbon finance market at home and abroad from a macro perspective.The data of carbon spot price return rate of five representative carbon financial markets in China were selected for statistical feature analysis,and the fluctuation of price and return rate was discussed and analyzed according to the results of statistical feature analysis.The market volatility of each pilot carbon financial market is measured by T-GARCH model and the volatility cluster is analyzed and discussed.Then the T-GARTH model is used to eliminate the relevant statistical characteristics that affect the accuracy of VaR risk measurement and VaR risk measurement is carried out for each market.Finally,based on the results of market volatility and VaR measure,the measurement results of five carbon financial markets are compared,analyzed and discussed from five aspects,including risk volatility persistence,risk volatility trend,risk volatility amplitude,risk volatility cluster effect and VaR value volatility degree,to explore the root causes of risks.Finally,from a macro perspective,the market development status and policy environment are taken into consideration,and the results of the empirical analysis of micro data are combined to comprehensively investigate and analyze the degree of volatility risk and its causes in China’s carbon financial market.The results of the T-Garch-VAR model show that there are obvious differences in the degree of market risk fluctuation in the five selected Pilot markets of Carbon finance in China,and there is no obvious consistency between the persistence of risk fluctuation influenced by national and international macro policies and the trend of risk fluctuation influenced by micro local policies.Finally,by comparing the persistence of risk fluctuations reflecting the quality of the market with the cluster effect reflecting the emotional risk fluctuations of market participants,it can be found that there is no significant synchronous change between the two.However,the cluster effect of market volatility has obvious synchronization with the volatility degree of VaR value.Finally,in view of the research conclusions,this paper puts forward Suggestions on improving the system construction,strengthening the supervisory role of industry associations and accelerating the innovation of carbon finance for controlling the market fluctuation risk in China.At the same time,it puts forward some corresponding strategies to control the market risk in the future. |
