基于不同分布EGARCH模型的EU ETS价格波动和风险研究

Study of EU ETS Price Fluctuations and Risk based on EGARCH Model under Different Distributions

分别基于正态分布、t分布、GED分布假设下的EGARCH模型,考察EUA和CER期货价格收益率的波动特征,并估算期货市场的风险VaR值,利用LR统计量检验VaR,估计值的准确程度.实证结果表明:碳期货收益率存在明显的"尖峰厚尾"特性;碳期货市场存在负的"杠杆效应","利多"的影响小于"利空"的影响;EUA期货市场相比CER期货市场具有更高的风险;EGARCH-GED模型对碳期货市场的风险刻画能力最强,其次是EGARCH-N模型,EGARCH-t模型刻画能力最差.

Based on EGARCH Model under Different Distributions, volatility characteristics of EUA and CER future prices were researched. Further, VaR of future markets were esti- mated, and accuracy of VaR were examined using LR statistic. The empirical results show that： Carbon future price return series have obvious fat tails. Carbon future markets have a negative ＂leverage effect＂, affect of good news is big than bad news. Compared to CER future market, EUA future market has higher risk. From the ability to portray the carbon future market risk of view, EGARCH-GED model is best, followed by EGARCH-N model, EGARCH-t model is the worst.