关于ARMA模型碳排放权交易价格波动实证分析—以深圳排放权交易为例.pdfVIP

Statistics and Application 统计学与应用, 2017, 6(4), 418-427 Published Online October 2017 in Hans. /journal/sa /10.12677/sa.2017.64048 The Empirical Study of Carbon Emission Price’s Volatility Based on ARMA Model —Evidence from Shenzhen Emissions Exchange Peng Cheng, Xuehua Zhang* Institute of Environmental Economics, Tianjin Polytechnic University, Tianjin th th th Received: Oct. 4 , 2017; accepted: Oct. 20 , 2017; published: Oct. 27 , 2017 Abstract 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. Keywords ARMA Model, Carbon Emission, Volatility of Return, ARCH Models 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 * 程 芃，张雪花 天津工业大学环境经济研究所，天津 收稿日期：2017年10月4 日；录用日期：2017年10月20 日；发布日期：2017年10月27 日 *通讯作者。 文章引用: 程芃, 张雪花. 基于ARMA 模型的碳排放权交易价格波动实证分析[J]. 统计学与应用, 2017, 6(4): 418-427. DOI: 10.12677/sa.2017.64048 程芃，张雪花 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