基于GARCH模型簇的湖北省温室气体排放分配配额波动性研究

A Study on the Volatility of the HBEA:Based on GARCH Type Models

基于湖北省温室气体排放分配配额(HBEA)现货交易的时间序列数据,研究了HBEA的收盘价日收益率的平稳性和ARCH效应,建立了GARCH、EGARCH、TGARCH、GARCH-M模型以刻画HBEA的波动特性。研究表明:GARCH模型能较好地拟合HBEA日收益率的波动情况;HBEA日收益率的波动不存在明显的杠杆效应;可观察到的预期风险波动和HBEA日收益率之间并无明确的数量关系。

Based on the series data of HBEA spot trading market in China Hubei Carbon Emission Exchange,the stability and ARCH effect of return series was studied;and GARCH type models for the return series was established.The study shows that GARCH model can better fit the volatility of the HBEA;there is no“leverage effect”in HBEA spot trading market;there is no clear quantitative relationship between the observed expected risk and the HBEA’s expected return.