我国试点地区碳排放权交易价格波动特征——基于GARCH族模型和在险值VaR的分析  

Price Fluctuation Characteristics of Carbon Emissions Rights Trading in Pilot Provinces and Cities of China Based on the Analysis of GARCH Family Model and Value at Risk (VaR)

作　　者：李菲菲 江浩 许正松[2] LI Fei-fei;JIANG Hao;XU Zheng-song(Bozhou College,Bozhou 236800,China;West Anhui University,Lu an 237012,China)

机构地区：[1]亳州学院经济与管理系,安徽亳州236800 [2]皖西学院经济与管理系,安徽六安237012

出　　处：《金陵科技学院学报（社会科学版）》2019年第3期35-40,共6页Journal of Jinling Institute of Technology(Social Sciences Edition)

基　　金：安徽省高校自然科学重点项目(KJ2018A0817);安徽省哲学社会科学规划重点项目(AHSKZ2018D06);安徽高校人文社科重点项目(SK2016A0979)

摘　　要：选取北京、上海等碳排放试点地区的碳交易价格周数据,利用GARCH族模型分析讨论试点地区碳交易价格波动和风险特征,利用在险值VaR验证碳价波动风险差异,提出增强碳市场规模、提高碳交易活跃度、采取可行的方法监测各地碳交易价格波动、有效规避交易风险等建议。Choosing the weekly data of carbon emissions rights trading price in pilot areas,Beijing,Shanghai,and so on,GARCH model was used to analyze the price fluctuations of carbon emissions rights trading and risk characteristics.Using the value at risk(VaR)to verify the risk difference of carbon price fluctuation.It is suggested that the scale of carbon market should be further strengthened;the activity level of carbon trading should be enhanced;feasible methods should be adopt to monitor the price fluctuations of carbon trading in different regions;and the trading risks should be effectively avoided.

关 键 词：碳排放交易价格 GARCH族模型 在险值VaR验证 风险特征 波动特征 

分 类 号：F206[经济管理—国民经济]