国际碳排放权市场动态相依性分析及风险测度:基于Copula-GARCH模型

The Copula-GARCH Model of Dynamic Dependencies and Risk Measure:An International Carbon Emission Market Application

选取2009年3月13日-2010年8月4日的CER和EUA交易价格数据,借用CopulaGARCH模型,文章对欧洲气候交易所EUA和CER现货市场与期货市场之间的动态相依性进行了分析。分别选取Student-t DCC、Student-t TVC、Gaussian DCC、G3,ussian TVC和SJCPatton五种动态Copula函数来捕捉市场之间的动态相依性结构,研究表明Student-t DCC动态Copula函数能够更好地描述EUA和CER现货市场与期货市场之间的动态相依性。此外,EUA和CER各市场之间存在较强的对称尾部相依性,而非对称尾部相依性的证据尚不十分充足.进一步地,文章基于动态相依性分析运用Monte Carlo方法模拟国际碳排放权市场投资组合的风险VaR。

This paper investigates the dynamic dependence in international carbon emission markets of ECX based on Copula-GARCH model.It selects Student-t DCC,Student-t TVC,Gaussian DCC,Gaussian TVC and SJC-Patton dynamic Copulas to capture the structure of dynamic dependences among different markets.The empirical results are as follows.On the one hand,Student-t DCC dynamic Copula is superior to capture the dynamic dependences among EUA and CER spot and futures markets,comparing with the other dynamic Copulas.On the other,there exist significant symmetric tail dependences among the carbon emission markets,while no sufficient evidences are found to prove asymmetric tail dependences among these markets.Furthermore,it measures the VaRs of different portfolios in international carbon emission markets using Monte Carlo simulations.