重庆市碳金融交易市场风险评估——基于GARCH-VaR模型

Chongqing Carbon Finance Trading Market Risk Assessment—Based on the GARCH-VaR Model

摘要: 随着碳金融交易市场的不断扩大，投资者越来越多，但碳市场是一个崭新的领域，政府对在碳金融交易市场中的投资风险分析并未形成完整的评估体系，风险的不确定性，在一定程度上影响未来碳交易市场的发展。本文将重庆市碳金融市场历史交易价格数据作为主要研究对象，对重庆市碳金融交易收益率的波动特征进行分析，采用GARCH-VaR模型对中国碳交易网的碳日收益率在90%和95%两种不同置信水平下的不同特定期限对重庆市碳金融交易市场中的风险进行度量，分析投资风险。

Abstract: With the continuous expansion of the carbon financial trading market, there are more and more investors, but the carbon market is a new field, the government’s risk analysis in the carbon financial trading market has not formed a complete assessment system, and the uncertainty of risk will affect the development of the carbon trading market in the future to a certain extent. This paper takes the historical transaction price data of Chongqing carbon financial market as the main research object, analyzes the fluctuation characteristics of the rate of return of carbon financial transactions in Chongqing, and uses the GARCH-VaR model to measure the risk in the carbon finance trading market of Chongqing at different specific periods under the two different confidence levels of 90% and 95% of the carbon trading network in China, and analyze the investment risk.