基于ARMA-GARCH模型的北京碳排放权市场价格分析  

Market Price Analysis of Carbon Emission Rights in Beijing Based on ARMA-GARCH Model

作　　者：田玲玲 苏宇楠 魏传华[1] TIAN Lingling;SU Yunan;WEI Chuanhua(College of Sciences,Minzu University of China,Bejing 100081,China)

机构地区：[1]中央民族大学大学理学院,北京100081

出　　处：《中央民族大学学报（自然科学版）》2023年第3期53-60,共8页Journal of Minzu University of China(Natural Sciences Edition)

基　　金：中央民族大学研究生教学改革项目“定量数据分析与统计软件应用”。

摘　　要：作为我国经济发展迅速的城市之一,北京碳排放权市场的分析将为我国其他城市碳排放权市场的分析提供重要参考,能够为进一步评估我国碳金融市场提供一定的帮助。因此,本文选取了2013年11月8日—2021年6月4日北京碳排放权市场的日收盘价作为研究对象,并将该数据以2020年1月1日为分界线分为新冠疫情前和新冠疫情后两组数据分别进行建模,采用ARMA-GARCH模型对北京碳排放权市场价格进行分析,刻画北京碳排放权市场价格的变动趋势。结果表明:新冠疫情前碳交易市场的日收盘价用ARMA(0,2)-GARCH(1,4)的拟合效果较好,疫情后碳交易市场的日收盘价用ARMA(0,1)-GARCH(1,4)的拟合效果较好。文中根据ARMA(0,1)-GARCH(1,4)模型对北京碳交易市场碳价未来30天的收益率进行了预测。As one of the cities with rapid economic development in China, the analysis of Beijing's carbon emission rights market will provide an important reference for the analysis of other cities' carbon emission rights market in China, and to a certain extent, it can provide some help for the further evaluation of China's carbon finance market. Therefore, this paper selects the daily closing price of the Beijing carbon emission rights market from November 8, 2013 to June 4, 2021 as the research object, and divides the data into two groups of data before and after the COVID-19 epidemic on January 1, 2020. The ARMA-GARCH model is used to analyze the price of the Beijing carbon emission rights market and depict the change trend of the price of the Beijing carbon emission rights market. The results show that ARMA(0,2)-GARCH(1,4) has a better fitting effect on the daily closing price of the carbon trading market before the COVID-19 epidemic, and ARMA(0,1)-GARCH(1,4) has a better fitting effect on the daily closing price of the carbon trading market after the epidemic. According to ARMA(0,1)-GARCH(1,4) model, the yield of carbon price in Beijing carbon trading market in the next 30 days is predicted. The results show that the price of carbon emission rights is relatively stable in the next month.

关 键 词：碳排放权市场 ARMA-GARCH模型 短期预测 

分 类 号：O212[理学—概率论与数理统计]