基于A-PARCH模型的湖北碳交易收益实证研究

Empirical Analysis on Return of Hubei Carbon Trade Market Based on A-PARCH Model

立足于湖北碳现货交易的历史数据,构建三个基于不同分布条件的A-PARCH模型,对湖北碳交易的日收益率进行分析,发现基于广义误差分布的A-PARCH-GED模型的拟合效果优于另外两个模型。该模型捕捉到了该市场收益率总体较差,具有"尖峰厚尾"性质,但不存在杠杆效应。指出了碳交易试点中市场存在的不足,提出了对下一阶段湖北碳市场建设的建议。

In this paper,we constructed three A-PARCH models under different distribution conditions,using historical data of Hubei carbon dioxide emission allowance spot price.After analysed the return rate of Hubei carbon trade market,we find that the A-PARCH-GED model based on generalized error distribution outperforms the other two.Then this model captures the leptokurtosis,fat-tail property,but proves the non-existence of leverage effect in this market.Finally,we give some suggestions about how to develop Hubei carbon market in the future.With the starting of China national carbon market,it will be constructive to conclude experience from pilot markets.