Extreme Risk Measurement of Carbon Market Considering Multifractal Characteristics  

作　　者：ZHU Dandan ZHANG Chen PAN Di 

机构地区：[1]School of Management,Hefei University of Technology,Hefei,230009,China [2]School of Economics and Management,Shanghai University of Political Science and Law,Shanghai,201701,China [3]Key Laboratory of Process Optimization and Intelligent Decision-Making,Hefei University of Technology,Hefei,230009,China

出　　处：《Journal of Systems Science & Complexity》2023年第6期2497-2514,共18页系统科学与复杂性学报（英文版）

基　　金：supported by the National Natural Science Foundation of China under Grant No.71971071。

摘　　要：Influenced by the global economy,politics,energy and other factors,the price of carbon market fluctuates sharply.It is of great practical significance to explore a suitable measurement method of extreme risk of carbon market.Considering that the return series of carbon market has the characteristics of leptokurtosis,fat tail,skewness and multifractal,and there maybe many extreme risk values in the carbon market,this paper introduces the Skewed-t distribution which can describe the characteristics of leptokurtosis,fat tail and skewness of return series into MSM model which can describe multifractal characteristic of return series to model volatility of carbon market.On the basis,based on the extreme value theory,this paper constructs Skewed-t-MSM-EVT model to measure extreme risk of carbon market.This paper chooses EUA market as the object to study extreme risk of carbon market,and draws the following conclusions:Skewed-t-MSM-EVT model has significantly higher prediction accuracy for carbon market's Va R than MSM-EVT models under other distributions(including normal distribution,t distribution,GED distribution);Skewed-t-MSM-EVT model is superior to traditional Skewed-t-FIGARCH-EVT and Skewed-t-GARCH-EVT models in predicting carbon market's Va R.This research has important practical significance for accurately grasping the risk of carbon market and promoting energy conservation and emission reduction.

关 键 词：Carbon market extreme value theory MULTIFRACTAL Skewed-t distribution VAR 

分 类 号：X196[环境科学与工程—环境科学] F831.5[经济管理—金融学]