EU ETS碳排放交易的动态套期保值研究

Dynamic Hedging Analysis of EU ETS Emission Allowance Trading

本文采用一个二元跳跃广义条件异方差模型(ARMA-GARCH-Jump,以下简称GARCH-Jump)研究欧盟碳排放配额(EUA)期货的套期保值作用。研究表明,EUA价格出现跳跃的强度、幅度是时变的,且EUA现货价格波动对基差的影响是非对称的,GARCH-Jump模型能有效刻画EUA价格的波动聚类和尖峰特征,能更准确分析EUA现货价格与基差的联合动态特征。套期保值分析表明,通过GARCH-Jump模型得到的最优套期比率是时变的,GARCH-Jump套期比率能有效地降低投资组合收益的方差。

A dynamic hedging strategy based on a bivariate GARCH- jump model augmented with autoregressive moving average （short for GARCH- Jump model） jump intensity is proposed to analyze the hedging effect of the EUA future. The result shows that the GARCH - Jump can capture the characteristic of volatility clustering and leptokurtosis. The jump intensity and size are time varying, and the impact of EUA price volatility to basis is asymmetric. The optimal hedge ratio is time varying, and hedging effect test shows that it sub- stantially reduces the variance of the portfolio.