基于ARMA模型的碳排放权交易价格波动实证分析--以深圳排放权交易为例  

The Empirical Study of Carbon Emission Price’s Volatility Based on ARMA Model--Evidence from Shenzhen Emissions Exchange

作　　者：程芃 张雪花[1] 

机构地区：[1]天津工业大学环境经济研究所,天津

出　　处：《统计学与应用》2017年第4期418-427,共10页Statistical and Application

基　　金：天津市哲学社会科学规划项目(TJLJ15-008);国家社会科学基金资助项目(12BJY025)。

摘　　要：环境问题日趋严重,通过促进低碳经济的发展以带动实体经济发展已成为当前各国的共识。本文以深圳碳排放权交易所成交均价为例,在ARMA模型的基础上运用ARCH族模型对碳排放权价格收益率及其波动性进行研究,结果表明:碳排放权收益率存在一定的时滞性,并且存在明显的条件异方差效应,而上述时滞规律可以通过ARMA-GARCH模型进行修正,加以较为准确地描述。最后,使用修正后的模型预测近几期的市场价格。Environmental problems are becoming increasingly serious. It has been agreed by the world that we are supposed to develop the real economy by promoting the development of the low-carbon economy. This paper uses data of the average price of carbon emissions in Shenzhen Carbon Ex-change and analyzes carbon emission price’s volatility of return by ARCH models based on ARMA model. The results show that there is a certain degree of time lag and obvious conditional hete-roscedasticity effects in carbon emission rate, which could be corrected and precisely described by ARMA-GARCH model. Finally we use the revised model to forecast the market price in recent period.

关 键 词：ARMA模型 碳排放权 收益率波动 ARCH族模型 

分 类 号：F2[经济管理—国民经济]