基于谷歌趋势的碳价波动性及预测研究

Study on the Volatility and Forecast of Carbon Price Based on Google Trends

选取碳排放为关键词的谷歌趋势为网络搜索变量,运用DCC-MIDAS模型研究欧盟排放配额对我国碳排放配额的影响,并对其价格进行预测。研究发现网络搜索量与国内外碳市场之间存在联动效应。从采用不同权重的MIDAS模型预测结果来看,U-MIDAS权重对于碳价预测的效果最佳。

This paper selects the Google trend with carbon emissions as the key to the network search variables, and uses the DCC-MIDAS model to study the impact of EU emission allowances on China’s carbon emission quotas and forecast their prices. The study found that there is a linkage effect between the amount of web search and the carbon market at home and abroad. From the prediction results of MIDAS models with different weights, U-MIDAS weights have the best effect on carbon price prediction.