后京都时代的核证减牌量期货价格波动性研究

本文运用ARCH和GARCH模型对2013年之后的CER核证减排量期货价格进行波动性分析，最终发现核证减牌量期货价格具有波动聚集和尖峰厚尾的金融资产波动特性，其次，核证减牌量期货收益率存在高阶ARCH效应，为了消除明显的条件异方差性。本文运用AIC及SC准则，得出GARCH（2，1）是拟合核证减排期货收益率波动特征的最佳模型。最后，条件方差系数之和小于1，即方差序列平稳，表明核证减排期货受到市场因素的长期影响。并对我国在当今碳市场的发展和建设提出建议。

This paper uses ARCH and GARCH model to analyze post-2013 CER future price volatility, and finally found CER future price has the characteristics of volatility clustering and fat tail of financial assets fluctuation.Secondly, CER future price rate of return has the existence of higher order ARCH effect,and in order to eliminate the obvious conditional heteroscedasticity, this paper uses the AIC and SC standards, which draws the conclusion that GARCH （2,1） is the best model fitting CER futures volatility. Finally, the sum of conditional variance coefficient is less than 1, which indicates the variance sequence is stable and CER future price will influenced for long-term by market factors.At the end,this paper puts forward some suggestions on the development and construction of the current carbon market in Chinai