基于ARMA-GARCH族和VAR模型的碳排放权交易价格波动特征研究

Fluctuation Characteristics of Carbon Emission Trading Price Based on ARMA-GARCH Family Model and VAR Model

摘要: 随着“双碳目标”的提出，我国碳交易市场得到了越来越多的关注，而碳定价权的争夺也将成为国际碳市场的竞争核心。因此，对碳排放权交易价格进行走势预测和波动特征研究是必要且具有现实意义的。本文综合考虑地区分布、碳交易规模和活跃性等因素，选取了广州、湖北、北京和上海四个碳交易市场，通过构建ARMA-GARCH和ARMA-EGARCH模型以及VAR模型，对碳排放权交易价格的日对数收益率进行了研究。结果发现：四个碳市场的交易活跃度和价格波动情况存在区域差异，对数收益率存在显著的自相关性和条件异方差性，且存在一定的相互影响。GARCH模型能够帮助更好地拟合波动特征，VAR模型的预测效果最佳。另外，我国碳市场的效率和流动性偏低，当期收益大小和波动受前期交易的影响较大。其中，广州、湖北和北京三个碳市场对利空和利好消息均敏感，上海碳市场则只对利好消息敏感。基于此，本文提出了“坚持市场导向 + 政府部门监管和引导”的建议。

Abstract: With the proposal of the “carbon peaking and carbon neutrality goals”, carbon trading market has received more and more attention, and the carbon pricing will also become the core of competition in the international carbon market. Therefore, it is necessary and practical to study the trend prediction and fluctuation characteristics of carbon emission trading prices. Considering the regional distribution, scale and activity of carbon trading, this paper selects four carbon trading markets in Guangzhou, Hubei, Beijing and Shanghai, and studies the daily logarithmic rate of return by constructing ARMA-GARCH, ARMA-EGARCH models and VAR models. The results show that there are regional differences in trading activity and price fluctuations in the four carbon markets. There are significant autocorrelations, conditional heteroscedasticity and mutual influences in logarithmic returns. The GARCH model can help better fit the fluctuation characteristics, and the VAR model has the best prediction effect. In addition, the efficiency and liquidity of China’s carbon market are low. The size and fluctuation of current returns are greatly affected by previous transactions. Among them, the three carbon markets of Guangzhou, Hubei and Beijing are sensitive to both bearish and bullish news, while the Shanghai carbon market is only sensitive to positive news. Based on this, this paper puts forward the proposal of “adhering to market-driven& strengthening the supervision and guidance of government”.