基于ARMA-APARCH模型碳排放权交易市场的风险度量

ARMA-APARCH Model-Based Risk Measure-Ment in Carbon Trading Markets

摘要: 自从“双碳目标”提出以来，碳交易市场价格波动剧烈。因此，研究碳排放权交易价格的波动性及其风险度量具有明确的现实意义。本文选取了广州、北京两个碳交易市场，构建了基于正态分布和广义有偏学生氏t分布的ARMA-APARCH模型，对碳排放权交易价格的日收益率序列进行拟合。在实证分析中，对碳排放权收益率序列进行了VaR计算，统计表明，基于广义有偏学生氏t分布的ARMA-APARCH模型的VaR能较好地度量金融风险。

Abstract: Since the proposal of the “dual carbon goals”, carbon trading markets have experienced significant price volatility. This study investigates the price fluctuations and risk measurement of carbon emission allowances, focusing on the Guangzhou and Beijing carbon trading markets. We developed ARMA-APARCH models based on normal distribution and generalized skewed Student’s t-distribution to fit the daily return series of carbon trading prices. Through empirical analysis, Value at Risk (VaR) calculations were conducted for carbon allowance return series. The statistical results indicate that the VaR derived from the generalized skewed Student’s t-distribution-based ARMA-APARCH model demonstrates superior performance in financial risk measurement.