基于ARMA-GARCH簇模型的碳配额价格波动特征研究  

Research on the Fluctuation Characteristics of Carbon Allowance Price Based on ARMA-GARCH Cluster Model

作　　者：樊晔琛 俞小平(指导)[1] FAN Ye-chen;YU Xiao-ping(College of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)

机构地区：[1]南京林业大学经济管理学院,南京210037

出　　处：《中国林业经济》2023年第2期100-106,共7页China Forestry Economics

基　　金：2022年南京林业大学大学生创新创业训练项目(2022NFUSPITP0163)。

摘　　要：在“双碳”目标指引下,我国碳市场正处于从区域试点迈向全国统一的关键时期,如何实现地方衔接全国碳市场已经成为亟待解决的问题。以北京、上海、广东、湖北、天津和全国6个碳交易市场的碳价为研究对象,通过建立ARMA-GARCH簇模型对碳价波动问题进行量化分析。研究结果发现,6个碳市场的碳价受前期交易的影响较为显著、价格波动具有集群效应以及存在非对称性冲击效应,为此提出丰富交易主体、交易产品和完善市场定价机制的相关建议。Under the guidance of the“double carbon”goal,China's carbon market is in a critical period of transition from regional pilot to national unification.How to achieve local connection to the national carbon market has become an urgent problem to be solved.This paper takes the carbon price of six carbon trading markets in Beijing,Shanghai,Guangdong,Hubei,Tianjin and China as the research object,this paper quantitatively analyzed the carbon price fluctuation by establishing the ARMA-GARCH cluster model.The research results showed that the carbon prices of the six carbon markets were significantly affected by early trading,and the price fluctuation had cluster effect and asymmetric impact effect.Therefore,it put forward relevant suggestions to enrich the trading subjects,trading products and to improve the market pricing mechanism.

关 键 词：碳交易市场 碳价 ARMA-GARCH簇模型 非对称冲击 

分 类 号：F830[经济管理—金融学]