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Volatility modeling and the asymmetric effect for China's carbon trading pilot market
Fu Y(傅洋)1,2,3; Zheng ZY(郑泽宇)1,2,3
Department数字工厂研究室
Source PublicationPhysica A: Statistical Mechanics and its Applications
ISSN0378-4371
2020
Pages1-11
Indexed ByEI
EI Accession number20195107870480
Contribution Rank1
Funding OrganizationNational Natural Science Foundation, China [grant numbers 71671182] ; One-hundred Talent Program of the Chinese Academy of Sciences [grant number Y5AA100A01].
KeywordCarbon emissions Carbon price behavior ARMA–EGARCH–SGED process News impact curve Asymmetric effect Backtesting Value-at-Risk
Abstract

China's carbon trading pilot programs are proceeding gradually, and play a positive role in promoting the development of a domestic carbon market. Because of the late start, deficiencies still exist in the understanding, modeling, and exploration of China's carbon trading pilot market. Our goal is to model the carbon price dynamics and explore the regularities of seven city-based carbon trading pilots. Based on the daily carbon price time series, we analyzed the behavior of the carbon log-returns from 2013 to 2018, modeled them with the ARMA–EGARCH–SGED process, assessed the impact of news on volatility, and carried out the backtesting Value-at-Risk (VaR) analysis. Statistical analysis shows that the log-returns are skewed kurtosis, fat tail, non-normal distribution, and have significantly volatility clustering. The estimated models perform well and capture the asymmetric impact of news on volatility. Positive news increases bigger volatility than a negative one, except for Hubei and Chongqing. The Shenzhen pilot shows the best performance in resisting markets’ risk, while lower-capability in that are found in Hubei and Tianjin. Moreover, the estimated models for seven pilots have adequate capital to cope with large unexpected losses and VaR estimates give a good prediction of market risk at 99%, 97.5%, and 95% confidence level.

Language英语
Document Type期刊论文
Identifierhttp://ir.sia.cn/handle/173321/26055
Collection数字工厂研究室
Corresponding AuthorFu Y(傅洋)
Affiliation1.Shenyang Institute of Automation, Chinese Academy of Sciences, Shenyang, Liaoning, 110016, China
2.Institutes for Robotics and Intelligent Manufacturing, Chinese Academy of Sciences, Shenyang, Liaoning, 110169, China
3.Key Laboratory of Network Control System, Chinese Academy of Sciences, Shenyang, Liaoning, 110016, China
Recommended Citation
GB/T 7714
Fu Y,Zheng ZY. Volatility modeling and the asymmetric effect for China's carbon trading pilot market[J]. Physica A: Statistical Mechanics and its Applications,2020:1-11.
APA Fu Y,&Zheng ZY.(2020).Volatility modeling and the asymmetric effect for China's carbon trading pilot market.Physica A: Statistical Mechanics and its Applications,1-11.
MLA Fu Y,et al."Volatility modeling and the asymmetric effect for China's carbon trading pilot market".Physica A: Statistical Mechanics and its Applications (2020):1-11.
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