碳排放权市场交易价格波动风险研究——基于ARMA-EGARCH簇模型

Study on the Risk of Price Fluctuation in Carbon Emissions Trading Market—Analysis Based on ARMA-EGARCH Model

在“双碳”目标指引下,我国碳市场正处于从区域试点向全国统一的关键阶段,市场交易价格及其风险波动是实现地方与全国碳市场的有效衔接的重要问题。文章以碳交易试点自交易开始日至2023年5月30日北京、重庆、上海、深圳、广东、湖北、天津和全国八家碳交易所碳价格为研究对象,运用ARMA-EGARCH簇模型对碳价格波动风险问题进行量化分析。结果显示:八家碳市场所的碳价格受前期交易的影响显著,价格波动具有长期记忆性和集群效应,同时还存在明显的杠杆效应和非对称性冲击效应。通过VaR在险值验证碳价格波动风险,其结果显示各试点VaR值波动趋势与收益率波动趋势较为一致。基于以上结果,文章提出了完善市场定价机制、丰富交易主体和交易产品,并逐步开放碳期货衍生市场等相关建议。

Under the guidance of the “Dual Carbon’ goals”, China’s carbon market is at a crucial stage of transitioning from regional pilots to nationwide integration. The determination of market transaction prices and their associated risk volatility is a critical concern for effectively linking local and national carbon markets. This study focuses on the carbon prices of eight carbon trading exchanges in Beijing, Chongqing, Shanghai, Shenzhen, Guangdong, Hubei, Tianjin, and the national market, from the initiation of carbon trading to May 30, 2023. Employing the ARMA-EGARCH cluster model, the research conducts a quantitative analysis of carbon price vol-atility risk. The results indicate that carbon prices in these eight markets are significantly influenced by previous transactions, exhibiting long-term memory and cluster effects. Additionally, there are evident leverage effects and asymmetric shock effects. The study validates carbon price volatility risk through Value at Risk (VaR) quantification, revealing a consistent trend between VaR values and return rate fluctuations across the pilot markets. Based on these findings, the paper proposes recommendations for refining market pricing mechanisms, diversifying trading entities and products, and progressively opening up carbon futures derivative markets.