基于MS-AR模型的碳排放权交易价格波动性研究——以湖北碳排放权交易中心为例

Research on Price Volatility of Carbon Emissions Trading Based on MS-AR Model——Taking Hubei Carbon Emission Trading Center as the Research Object

以湖北碳排放权交易中心2017年1月3日至2018年12月17日的日碳交易价格为样本,通过建立MS-AR模型研究了其碳交易价格收益率的动态变化过程。结果显示:价格由下跌状态转化到上涨状态概率为p12=0.7207,从上涨状态转化为下跌的概率为p21=0.3408;停留在上涨状态的持续期为2.93d,停留在下跌状态的持续期为1.30d。由此可知湖北碳价市场发展势头良好,上升空间大。

Taking the daily carbon emission trading price of Hubei Carbon Emission Trading Center from January 3,2017 to December 17,2018 as the sample,the dynamic change process of carbon emission right trading price return rate was studied by establishing MS-AR model.The results show that the probability of the price from the declining state to the rising state is and the probability of the price from the rising state to the falling state is.The duration of staying in the rising state is 2.93 days,and the duration of staying in the falling state is 1.30 days.Therefore,the carbon price market in Hubei has a good development momentum and a large room for improvement.