基于GARCH类模型的碳中和交易数据的实证分析

Empirical Analysis of Carbon Neutrality Trading Data Based on GARCH Type Models

摘要: 气候变暖问题日益严峻，各国以碳中和作为解决气候变暖的关键途径。随着碳金融交易市场规模扩大，市场风险也随之增加。分析碳交易价格的波动性特点可以有效度量市场风险，对金融风险的防范具有重要意义。因此，本文使用条件异方差模型研究碳中和股票交易数据序列的波动性聚集、非对称效应。以华证国网英大碳中和指数以及信能低碳股票价格进行实证分析，结果表明GARCH类模型对于碳中和交易值波动率和非对称效应的建模具有较好的拟合效果。

Abstract: The problem of climate warming is becoming more and more serious, countries adopt carbon neutrality to deal with climate issues. Market risk increases with the expansion of the carbon financial trading market. Analyzing the volatilities of carbon trading prices can effectively measure market risks, it is great significance to the prevention of financial risks. Therefore, we make use of the conditional heteroscedasticity models to research the volatility clustering and asymmetric effects of carbon neutrality stock return series. Empirical analysis is carried out with the CZH Index and CCIAM Future Energy Limited stock prices. The results show that the GARCH model has a good fitting for the modeling of carbon neutrality stock return volatility and asymmetric effects.